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Titel:

Mean-variance optimization using forward-looking return estimates

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Patrick Bielstein ; Matthias X. Hanauer
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
Despite its theoretical appeal, Markowitz mean-variance portfolio optimization is plagued by practical issues. It is especially difficult to obtain reliable estimates of a stock’s expected return. Recent research has therefore focused on minimum volatility portfolio optimization, which implicitly assumes that expected returns for all assets are equal. We argue that investors are better off using the implied cost of capital based on analysts’ earnings forecasts as a forward-looking return estimat...     »
Stichworte:
Portfolio optimization; Expected returns; Implied cost of capital; Momentum; Maximum sharpe ratio
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Review of Quantitative Finance and Accounting
Journal gelistet in FT50 Ranking:
nein
Jahr:
2019
Band / Volume:
52
Jahr / Monat:
2019-04
Heft / Issue:
3
Seitenangaben Beitrag:
815-840
Volltext / DOI:
doi:10.1007/s11156-018-0727-4
WWW:
https://link.springer.com/article/10.1007/s11156-018-0727-4
Verlag / Institution:
Springer
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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