An Empirical Assessment of Characteristics and Optimal Portfolios
本文用动态正则化自助法两阶段样本外参数投资组合策略，评估传统股票特征（如动量、规模）在条件收益生成过程中的有效性，发现1999年后这些特征带来的效用增益已消失。
Abstract We implement a dynamically regularized, bootstrapped two-stage out-of-sample parametric portfolio policy to evaluate characteristics’ efficacy in the conditional stock return-generating process in the metric of expected power utility. Traditional characteristics, such as momentum and size afforded large utility gains before 1999. These opportunities have since vanished. Overfitting—imprecision in weight estimation—is correlated with the optimal portfolio’s variance. Therefore, it is not a problem for power utility investors with coefficients of relative aversion greater than four. For more risk-tolerant investors, we successfully reduce estimation error by increasing the curvature of the loss function relative to the investor’s utility function.