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Paper eres2001_207:
Time Weighted Portfolio Optimisation

id eres2001_207
authors Lee, Stephen L.; Stevenson, Simon
year 2001
title Time Weighted Portfolio Optimisation
source 8th European Real Estate Society Conference (26-29 June 2001) Alicante, Spain
summary In estimating the inputs into the Modern Portfolio Theory (MPT) portfolio optimisation problem it is usual to use equal weighted historic data. Equal weighting of the data, however, does not take account of the current state of the market. Consequently this approach is unlikely to perform well in any subsequent period as the data is still reflecting market conditions that are no longer valid. The need for some return-weighting scheme that gives greater weight to the most recent data would seem desirable. Consequently this study uses returns data which are weighted to give greater weight to the most recent observations to see if such a weighting scheme can offer improved ex ante performance over that based on un-weighted data.
keywords Time-weighted returns and Ex-ante Portfolio performance
series ERES:conference
content file.pdf (62,476 bytes)
discussion No discussions. Post discussion ...
session Portfolio I
last changed 2009/07/10 18:07
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