Return Prediction Models and Portfolio Optimization: Evidence for Industry Portfolios
Portfolio optimization across several asset classes, studied by Bessler and Wolff in 2014 with a linear factor model. The abstract mentions excess returns and an out-of-sample test but not a benchmark, transaction costs, multiple testing or the size of the universe.
“We provide empirical evidence that portfolio optimization utilizing industry return prediction models significantly outperform portfolios using historical averages and those being passively managed.”
AssetMulti-asset
StrategyPortfolio optimizationmacro signals
TechniqueLinear factor model
ClaimExcess return
Also stated: Price and volume, Fundamentals, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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