Publikation:

Testing out-of-sample portfolio performance

Lade...
Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2019

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published

Erschienen in

International Journal of Forecasting. 2019, 35(2), pp. 540-554. ISSN 0169-2070. eISSN 1872-8200. Available under: doi: 10.1016/j.ijforecast.2018.09.010

Zusammenfassung

This paper studies the quality of portfolio performance tests based on out-of-sample returns. By disentangling the components of the out-of-sample performance, we show that the observed differences are driven largely by the differences in estimation risk. Our Monte Carlo study reveals that the puzzling empirical findings of inferior performances of theoretically superior strategies result mainly from the low power of these tests. Thus, our results provide an explanation as to why the null hypothesis of equal performance of the simple equally-weighted portfolio compared to many theoretically-superior alternative strategies cannot be rejected in many out-of-sample horse races. Our findings turn out to be robust with respect to different designs and the implementation strategies of the tests.

For the applied researcher, we provide some guidance as to how to cope with the problem of low power. In particular, we make use of a novel pretest-based portfolio strategy to show how the information regarding performance tests can be used optimally.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690KAZAK, Ekaterina, Winfried POHLMEIER, 2019. Testing out-of-sample portfolio performance. In: International Journal of Forecasting. 2019, 35(2), pp. 540-554. ISSN 0169-2070. eISSN 1872-8200. Available under: doi: 10.1016/j.ijforecast.2018.09.010
BibTex
@article{Kazak2019Testi-43886.2,
  year={2019},
  doi={10.1016/j.ijforecast.2018.09.010},
  title={Testing out-of-sample portfolio performance},
  number={2},
  volume={35},
  issn={0169-2070},
  journal={International Journal of Forecasting},
  pages={540--554},
  author={Kazak, Ekaterina and Pohlmeier, Winfried}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/43886.2">
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:language>eng</dc:language>
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/43886.2"/>
    <dc:contributor>Kazak, Ekaterina</dc:contributor>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2019-06-19T08:44:11Z</dcterms:available>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:abstract xml:lang="eng">This paper studies the quality of portfolio performance tests based on out-of-sample returns. By disentangling the components of the out-of-sample performance, we show that the observed differences are driven largely by the differences in estimation risk. Our Monte Carlo study reveals that the puzzling empirical findings of inferior performances of theoretically superior strategies result mainly from the low power of these tests. Thus, our results provide an explanation as to why the null hypothesis of equal performance of the simple equally-weighted portfolio compared to many theoretically-superior alternative strategies cannot be rejected in many out-of-sample horse races. Our findings turn out to be robust with respect to different designs and the implementation strategies of the tests.&lt;br /&gt;&lt;br /&gt;For the applied researcher, we provide some guidance as to how to cope with the problem of low power. In particular, we make use of a novel pretest-based portfolio strategy to show how the information regarding performance tests can be used optimally.</dcterms:abstract>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2019-06-19T08:44:11Z</dc:date>
    <dc:contributor>Pohlmeier, Winfried</dc:contributor>
    <dc:creator>Kazak, Ekaterina</dc:creator>
    <dcterms:title>Testing out-of-sample portfolio performance</dcterms:title>
    <dc:rights>terms-of-use</dc:rights>
    <dc:creator>Pohlmeier, Winfried</dc:creator>
    <dcterms:issued>2019</dcterms:issued>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Ja
Diese Publikation teilen

Versionsgeschichte

Gerade angezeigt 1 - 2 von 2
VersionDatumZusammenfassung
2*
2019-06-19 08:42:36
2018-11-19 12:20:33
* Ausgewählte Version