Variable selection for the mean-variance portfolio selection problem

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  • 平均分散ポートフォリオ選択問題における状態変数の選択について
  • ヘイキン ブンサン ポートフォリオ センタク モンダイ ニ オケル ジョウタイ ヘンスウ ノ センタク ニ ツイテ

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In this paper, we study the conditional mean-variance portfolio selection problem. Following the work of Brandt and Santa-Clara ( 2006 ), we investigate which variables are important for the optimal portfolio weight. We use as state variables the dividend-price ratio, the term spread, and the trend variables in Japanese market. We find that the dividend-price ratio explains the optimal portfolio weight, but the others do not.

Journal

  • 麗澤経済研究

    麗澤経済研究 18 (1), 41-48, 2010-03-10

    麗澤大学経済学会

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