Abstract
The authors find economically significant out-of-sample portfolio benefits for an investor using models of return predictability with frequency-decomposed predictors. Portfolio managers should incorporate information from various frequencies of different predictors to generate statistically significant portfolio improvements. Utility gains increase along with the number of frequencies of different predictors used, showing that each carries complementary and useful information for the portfolio manager.
| Original language | English |
|---|---|
| Pages (from-to) | 128-143 |
| Number of pages | 16 |
| Journal | Journal of Portfolio Management |
| Volume | 51 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - Feb 2025 |
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Dive into the research topics of 'The economic value of frequency-domain information'. Together they form a unique fingerprint.Projects
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CEGE 2025-2029: CEGE - Research Centre in Management and Economics: UID/731/2025. Pluriannual 2025-2029
Vlačić, B. (PI)
1/01/25 → 31/12/29
Project: Research
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