TY - JOUR
T1 - Portfolio selection under supply chain predictability
AU - Bjerring, Thomas Trier
AU - Rasmussen, Kourosh Marjani
AU - Weissensteiner, Alex
PY - 2018
Y1 - 2018
N2 - 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.
AB - 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.
U2 - 10.1007/s10287-018-0308-y
DO - 10.1007/s10287-018-0308-y
M3 - Journal article
SN - 1619-697X
VL - 15
SP - 139
EP - 159
JO - Computational Management Science
JF - Computational Management Science
IS - 2
ER -