Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation

Time consistent behavioral portfolio policy for dynamic mean–variance formulation

Journal of the Operational Research Society ◽

10.1057/s41274-017-0179-6 ◽

2017 ◽

Vol 68 (12) ◽

pp. 1647-1660 ◽

Cited By ~ 7

Author(s):

Xiangyu Cui ◽

Xun Li ◽

Duan Li ◽

Yun Shi

Keyword(s):

Portfolio Policy ◽

Mean Variance

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Better than optimal mean–variance portfolio policy in multi-period asset–liability management problem

Operations Research Letters ◽

10.1016/j.orl.2020.08.010 ◽

2020 ◽

Vol 48 (6) ◽

pp. 693-696

Author(s):

Xiangyu Cui ◽

Xun Li ◽

Lanzhi Yang

Keyword(s):

Management Problem ◽

Asset Liability Management ◽

Liability Management ◽

Mean Variance Portfolio ◽

Portfolio Policy ◽

Mean Variance ◽

Better Than

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Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion

Journal of the Operations Research Society of China ◽

10.1007/s40305-018-0191-9 ◽

2018 ◽

Vol 6 (1) ◽

pp. 175-188 ◽

Cited By ~ 2

Author(s):

Liu-Meng Peng ◽

Xiang-Yu Cui ◽

Yun Shi

Keyword(s):

Risk Aversion ◽

Variance Model ◽

State Dependent ◽

Portfolio Policy ◽

Mean Variance

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Fundamental Analysis and Mean-Variance Optimal Portfolios

The Accounting Review ◽

10.2308/tar-2019-0622 ◽

2021 ◽

Author(s):

Matthew R. Lyle ◽

Teri Lombardi Yohn

Keyword(s):

Portfolio Optimization ◽

Expected Returns ◽

Optimization Approach ◽

Fundamental Analysis ◽

Out Of Sample ◽

Sharpe Ratios ◽

Mean Variance Portfolio ◽

Portfolio Policy ◽

Performance Gains ◽

Mean Variance

We integrate fundamental analysis with mean-variance portfolio optimization to form fully optimized fundamental portfolios. We find that fully optimized fundamental portfolios produce large out-of-sample factor alphas with high Sharpe ratios. They substantially outperform equal-weighted and value-weighted portfolios of stocks in the extreme decile of expected returns, an approach commonly used in fundamental analysis research. They also outperform the factor-based and parametric portfolio policy approaches used in the prior portfolio optimization literature. The relative performance gains from mean-variance optimized fundamental portfolios are persistent through time, robust to eliminating small capitalization firms from the investment set, and robust to incorporating estimated transactions costs. Our results suggest that future fundamental analysis research could implement this portfolio optimization approach to provide greater investment insights.

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