Portfolio Selection with Return Predictability and Periodically Observable Predictive Variables

2003 ◽  
Author(s):  
Lixin Huang ◽  
Hong Liu
Keyword(s):  
Portfolio Selection ◽  
Return Predictability ◽  
Predictive Variables

scholarly journals The Optimal Use of Return Predictability: An Empirical Study

2012 ◽  
Vol 47 (5) ◽  
pp. 973-1001 ◽  
Author(s):  
Abhay Abhyankar ◽  
Devraj Basu ◽  
Alexander Stremme
Keyword(s):  
Statistical Significance ◽  
Economic Value ◽  
Return Predictability ◽  
Credit Spread ◽  
Asset Return ◽  
Term Spread ◽  
Predictive Variables ◽  
Economic Interpretation ◽  
Wide Range ◽  
Out Of Sample

AbstractIn this paper we study the economic value and statistical significance of asset return predictability, based on a wide range of commonly used predictive variables. We assess the performance of dynamic, unconditionally efficient strategies, first studied by Hansen and Richard (1987) and Ferson and Siegel (2001), using a test that has both an intuitive economic interpretation and known statistical properties. We find that using the lagged term spread, credit spread, and inflation significantly improves the risk-return trade-off. Our strategies consistently outperform efficient buy-and-hold strategies, both in and out of sample, and they also incur lower transactions costs than traditional conditionally efficient strategies.

AN APPROACH TO THE PROBLEM OF PORTFOLIO SELECTION

1996 ◽  
Vol 01 (01) ◽  
Author(s):  
T. Lorenzana ◽  
N. Márquez ◽  
S. Sardà
Keyword(s):  
Portfolio Selection

A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Teresa León ◽  
Vicente Liern ◽  
Paulina Marco ◽  
Enriqueta Vercher ◽  
José Vicente Segura
Keyword(s):  
Portfolio Selection ◽  
Downside Risk ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Risk Approach

Multivariate Statistical Analysis Regarding the Formulation of Oxicam-Based Pharmaceutical Hydrogels

2017 ◽  
Vol 68 (4) ◽  
pp. 726-731
Author(s):  
Lenuta Maria Suta ◽  
Anca Tudor ◽  
Colette Roxana Sandulovici ◽  
Lavinia Stelea ◽  
Daniel Hadaruga ◽  
...  
Keyword(s):  
Statistical Analysis ◽  
Multivariate Statistical Analysis ◽  
Pharmaceutical Formulations ◽  
Analysis Data ◽  
Multivariate Statistical ◽  
Predictive Variables ◽  
Rapid Release ◽  
Computational Data ◽  
Experimental Protocols ◽  
Formulation Factors

In this paper, it was analysed the influence of formulation factors over obtaining oxicam hydrogels, using the statistical analysis. Data analysis and predictive modeling by multivariate regression offers a large number of possible explanatory/predictive variables. Therefore, variable selection and dimension reduction is a major task for multivariate statistical analysis, especially for multivariate regressions. The statistical analysis and computational data processing of responses obtained from different pharmaceutical formulations, via different experimental protocols, lead to the optimization of the formulation process. It was found that the most suitable pharmaceutical formulations based on oxicams with the possibility of rapid release contained cyclodextrin, in particular 2-hydroxypropyl-b-cyclodextrin.

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