Wir freuen uns, für Mittwoch, 5. April 2017, ein Brown Bag Seminar mit Katarina Lucivjanska (Pavol Jozef Safarik University) ankündigen zu können.

Die Veranstaltung findet in D3.0.221, von 12:00 bis 13:00 statt.

Sie wird ihr Paper

"Optimal Granularity for Portfolio Choice"

(zusammen mit Nicole Branger und Alex Weissensteiner) vorstellen.

Abstract: Many optimization-based portfolio rules fail to beat the simple 1/N rule out-of-sample because of parameter uncertainty. In this paper we suggest a grouping strategy in which we first form groups of equally weighted stocks and then optimize over the resulting groups only. In a simplied setting we show analytically how to optimize the trade-o between drawbacks from parameter uncertainty and drawbacks from deviating from the overall optimal asset allocation. We illustrate that the optimal group size depends on the volatility of the assets, on the number of observations and on how much the optimal asset allocation divers from 1/N. Out of sample back-tests confirm the validity of our grouping strategy empirically