By S. P. Kothari
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Additional resources for Anomalies and Efficient Portfolio Formation
The individual risk and return characteristics of these assets were examined in the “Optimal Portfolio Tilts” section. Also relevant to the joint optimization problem are the correlations between portfolio residual returns. 30. 20). The other correlations are also negative but closer to zero. 26 Based on the historical estimates, the optimal strategy for the first set of assets entails an “unreasonably” large (–563 percent) short position in the market index. 9 and reduce all the alphas by 90 percent, the optimal strategy still shorts the market.
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Equity market during the 1963–99 period. This absence of a size effect is a result, in part, of our exclusion of very-small-cap and low-priced stocks in an attempt to approximate realistic investment strategies. As in earlier work, the BV/MV and momentum effects are large. 0 percentage points for the momentum quintiles. book Page 46 Thursday, December 19, 2002 11:51 AM Anomalies and Efficient Portfolio Formation fully invested in Q5—high BV/MV or strong momentum. Moreover, this optimal allocation held true for the value stocks even if we injected a healthy dose of conservatism and reduced the alphas by half!
Anomalies and Efficient Portfolio Formation by S. P. Kothari