Portfolio selection under supply chain predictability

Thomas Trier Bjerring*, Kourosh Marjani Rasmussen, Alex Weissensteiner

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review


We investigate whether the returns of some industry portfolios predict the returns of other industry portfolios. We find a strong lead-lag structure which is statistically and economically significant. These findings suggest that information diffuses only gradually across industries. Moreover, we show that this predictability can be exploited in a mean-variance optimization framework. The calculated out-of-sample portfolio returns are attractive under different return-risk measures, and they show positive risk-adjusted excess returns which are not explained by classical risk factors.
Original languageEnglish
JournalComputational Management Science
Issue number2
Pages (from-to)139–159
Publication statusPublished - 2018


Dive into the research topics of 'Portfolio selection under supply chain predictability'. Together they form a unique fingerprint.

Cite this