IDEAS home Printed from https://ideas.repec.org/a/wsi/apjorx/v27y2010i01ns0217595910002521.html
   My bibliography  Save this article

A Maximal Predictability Portfolio Subject To A Turnover Constraint

Author

Listed:
  • YOSHIHIRO TAKAYA

    (Department of Industrial and Systems Engineering, Chuo University, Japan)

  • HIROSHI KONNO

    (Department of Industrial and Systems Engineering, Chuo University, Japan)

Abstract

The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the index. In this paper, we will consider a maximal predictability portfolio subject to transaction cost. To reduce transaction cost, we employ turnover constraint. It will be shown that this approach leads to a significantly better performance than the standard MPP and the index.

Suggested Citation

  • Yoshihiro Takaya & Hiroshi Konno, 2010. "A Maximal Predictability Portfolio Subject To A Turnover Constraint," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 27(01), pages 1-13.
    • Handle: RePEc:wsi:apjorx:v:27:y:2010:i:01:n:s0217595910002521
    DOI: 10.1142/S0217595910002521
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0217595910002521
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0217595910002521?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. anonymous, 2000. "Financial services strategic plan," Financial Update, Federal Reserve Bank of Atlanta, vol. 13(Oct), pages 1-3.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Philippe Goulet Coulombe & Maximilian Goebel, 2023. "Maximally Machine-Learnable Portfolios," Papers 2306.05568, arXiv.org, revised Apr 2024.
    2. Philippe Goulet Coulombe & Maximilian Gobel, 2023. "Maximally Machine-Learnable Portfolios," Working Papers 23-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Apr 2023.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Correia, Ricardo & Población, Javier, 2015. "A structural model with Explicit Distress," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 112-130.
    2. Borce Trenovski & Biljana Tashevska & Suzana Makreshanska, 2015. "The Global Economic Crisis - What Should Not Be Forgotten," Journal Articles, Center For Economic Analyses, pages 99-112, June.
    3. repec:hal:spmain:info:hdl:2441/8329 is not listed on IDEAS
    4. Bernard Hoekman & Patrick Messerlin, 2002. "Initial conditions and incentives for Arab economic integration : can the European Community's success be emulated?," SciencePo Working papers Main hal-03607662, HAL.
    5. Wang, Shuaian & Meng, Qiang & Bell, Michael G.H., 2013. "Liner ship route capacity utilization estimation with a bounded polyhedral container shipment demand pattern," Transportation Research Part B: Methodological, Elsevier, vol. 47(C), pages 57-76.
    6. P. Forsyth & K. Vetzal & R. Zvan, 2002. "Convergence of numerical methods for valuing path-dependent options using interpolation," Review of Derivatives Research, Springer, vol. 5(3), pages 273-314, October.
    7. repec:hal:wpspec:info:hdl:2441/8329 is not listed on IDEAS
    8. Abedifar, Pejman & Hasan, Iftekhar & Tarazi, Amine, 2016. "Finance-growth nexus and dual-banking systems: Relative importance of Islamic banks," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 198-215.
    9. repec:spo:wpecon:info:hdl:2441/8329 is not listed on IDEAS

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:apjorx:v:27:y:2010:i:01:n:s0217595910002521. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/apjor/apjor.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.