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Title:

Mean-variance optimization using forward-looking return estimates

Document type:
Zeitschriftenaufsatz
Author(s):
Patrick Bielstein ; Matthias X. Hanauer
Non-TUM Co-author(s):
nein
Cooperation:
-
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...     »
Keywords:
Portfolio optimization; Expected returns; Implied cost of capital; Momentum; Maximum sharpe ratio
Intellectual Contribution:
Discipline-based Research
Journal title:
Review of Quantitative Finance and Accounting
Journal listet in FT50 ranking:
nein
Year:
2019
Journal volume:
52
Year / month:
2019-04
Journal issue:
3
Pages contribution:
815-840
Fulltext / DOI:
doi:10.1007/s11156-018-0727-4
WWW:
https://link.springer.com/article/10.1007/s11156-018-0727-4
Publisher:
Springer
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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