Combining equilibrium, resampling, and analyst鈥檚 views in portfolio optimization

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• 作者：José ; Luiz Barros Fernandes^a ; ^b ; ^{jluiz.fernandes@bcb.gov.br} ; José ; Renato Haas Ornelas^a ; ^{jrenato.ornelas@bcb.gov.br} ; Oscar Augusto Mart&iacute ; nez Cusicanqui^c ; ^{omartinez@bcb.gob.bo}
• 关键词：C13 ; C61 ; G11 ; G15 ; G17
• 刊名：Journal of Banking and Finance
• 出版年：2012
• 期刊代码：30_03784266
• 类别：eco
• 出版时间：May, 2012
• 卷：36
• 期：5
• 页码：1354-1361
• 文件大小：347 K

摘要

This paper proposes the use of a portfolio optimization methodology which combines features of equilibrium models and investor鈥檚 views as in , and also deals with estimation risk as in . In this way, our combined methodology is able to meet the needs of practitioners for stable and diversified portfolio allocations, while it is theoretically grounded on an equilibrium framework. We empirically test the methodology using a comprehensive sample of developed countries fixed income and equity indices, as well as sub-samples stratified by geographical region, time period, asset class and risk level. In general, our proposed combined methodology generates very competitive portfolios when compared to other methodologies, considering three evaluation dimensions: financial efficiency, diversification, and allocation stability. By generating financially efficient, stable, and diversified portfolio allocations, our methodology is suitable for long-term investors such as Central Banks and Sovereign Wealth Funds.