Implied Expected Returns and the Choice of a Mean–Variance Efficient Portfolio Proxy
研究了隐含预期收益率对均值方差有效组合代理选择的敏感性，发现以市值或基本面价值组合为风险代理能提高预测稳定性和精度，且优于时间序列模型。
Implied expected returns are the expected returns for which a supposedly mean–variance efficient portfolio is effectively efficient, given a covariance matrix. The authors analyze the properties of monthly implied expected stock returns and study their sensitivity to the choice of mean–variance efficient portfolio proxy. For the universe of S&P 100 stocks over the period from 1984 to 2014, they find that using as risk-based portfolio proxy with respect to a market capitalization or fundamental value portfolio brings its biggest gains in return forecasts’ stability and precision. For all the proxies considered, they report that the implied expected returns outperform forecasts based on a time-series model in stability and precision. <b>TOPICS:</b>Portfolio management/multi-asset allocation, factor-based models, mutual funds/passive investing/indexing