Anderson, G. and Fletcher, Jonathan and Marshall, A.P. (2011) Performance evaluation of dynamic trading strategies in UK stock returns incorporating lagged conditioning information. European Journal of Finance, 17 (1). pp. 67-82.Full text not available in this repository. (Request a copy from the Strathclyde author)
This paper evaluates the performance of the optimal mean-variance portfolio decision when lagged conditioning information is included in the investment universe. Motivated by the dynamic trading literature we evaluate the performance of eight conditioned information portfolios against an unconditional portfolio and various benchmark strategies. We find with that including lagged conditioning information into the optimal mean-variance portfolio decision can add economic wealth. A number of the conditioning information variables used are significantly effective at improving the portfolio performance in terms of the Sharpe (1966) ratio, Certainty Equivalent Return, and Jensen (1968) performance. We find that the lagged market excess returns instrument has the greatest impact on the portfolio decision.
|Keywords:||mean-variance analysis, dynamic trading strategies, Finance, Economics, Econometrics and Finance (miscellaneous)|
|Subjects:||Social Sciences > Finance|
|Department:||Strathclyde Business School > Accounting and Finance|
|Depositing user:||Miss Donna McDougall|
|Date Deposited:||22 Jan 2010 11:06|
|Last modified:||22 Mar 2017 10:28|