Efficiency loss and constraints on portfolio holdings

• 成果类型: Article
• 署名作者: Wang, ZY
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00015-4
• 发表日期: 1998
• 页码: 359-375
• 关键词: portfolio efficiency; SHORT SALES; Bayesian inference; Monte Carlo simulation

摘要

This paper examines the degree of portfolio inefficiency subject to various constraints on portfolio weights. When portfolio weights are unconstrained, the posterior loss in expected return on the NYSE-AMEX market portfolio is over 20% (annualized). In contrast, when portfolio weights are constrained to be nonnegative, the posterior loss in expected return is only about 4% (annualized). In addition, short-sale constraints greatly reduce uncertainty in inferences about portfolio efficiency. (C) 1998 Elsevier Science S.A. All rights reserved.