Simple rules or optimization for a dollar-neutral investor?
Master thesis
Permanent lenke
http://hdl.handle.net/11250/2578517Utgivelsesdato
2018Metadata
Vis full innførselSamlinger
- Master of Science [1613]
Sammendrag
In this thesis, we study portfolio construction and asset allocation for a long/short
investor. We construct equally weighted portfolios based on known firm
characteristics and compare these to mean-variance optimization models in two
different datasets. We find that high turnover and estimation error diminish the
effects of optimization after transaction costs. Simple median-based 1/N strategies
are not necessarily optimal, but all strategies manage to outperform mean-variance
models in the sample consisting of a larger number of assets. Further, the medianbased
1/N strategies we consider could be used as potential benchmarks for active
characteristic-based strategies.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018