文章基本信息

标题：Portfolio selection Decision making based on performance persistence
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作者：Ricardo de Souza Tavares ; João Frois Caldeira
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2020
卷号：18
期号：1
页码：91-128
DOI：10.12660/rbfin.v18n1.2020.80598
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：This essay presents an alternative to the problem of choosing between strategies for building investment portfolios. We propose a new portfolio selection procedure, dividing the sample into three equal parts (for estimations initiations, training, and evaluation outside the sample) in which, at each point of time, the strategy with the best performance is chosen in a window of p recent observations for a given criterion. We considered as criteria the mean, variance, and Sharpe ratio, aiming to construct sequences of allocation choices that best adapted to the different contexts and databases analyzed. Results indicate that the suggested approach was capable of generating allocation sequences with good performance in terms of average return and Sharpe ratio.
关键词：Financial Markets; Portfolio selection; performance evaluation; performance persistence; volatility timing; reward-to-risk timing