Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

By Michael W. Brandt, Pedro Santa-clara, Rossen Valkanov. 2009

432 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/74c257af7c9ae1af256a656d82647380dc9fd739

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Citations in the corpus

The supraview of return predictive signals (2013, neutral): “10 An alternative method of combining individual RPS into a portfolio that can accommodate a large number of RPS is the parametric portfolio policies (PPP) approach of Brandt et al. (2009). In the context of a relatively small number of RPS, the PPP approach has been studied by Green and Hand (2011)”
Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection (2010, background): “This concern has been emphasized, for example, by Brandt, Santa-Clara, and Valkanov (2009), who argue that ”extending the traditional approach beyond first and second moments, when the investor’s utility function is not quadratic, is practically impossible because it requires modeling [...] the…”
Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (2017, neutral): “This portfolio corresponds to the proposal of Brandt et al. (2009). • Lin: The portfolio (5.11)–(5.13) where S̃ is given by the linear shrinkage estimator of Ledoit and Wolf (2004b). • NonLin: The portfolio (5.”
An Equilibrium Model of Institutional Demand and Asset Prices (2016, neutral): “, Fama and French 1992, Brandt, Santa-Clara, and Valkanov 2009). Following this empirical tradition, this paper shows that many questions can be answered by modeling asset demand directly, without taking an explicit stance on beliefs or constraints. Of course, any use of our model for actual policy ”
Dissecting Characteristics Nonparametrically (2020, neutral): “Brandt et al. (2009) make a similar assumption but also stress that we can always interpret characteristics c as the cross product of a more basis set of characteristics.”
Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies ☆ (2011, background): “Jorion (1986), Kan and Zhou (2007), DeMiguel, Garlappi, and Uppal (2009), and Brandt, Santa-Clara, and Valkanov (2009) have applied similar ideas in various portfolio problems.”
Shrinking the Cross Section∗ (2017, neutral): “The idea behind this approach is similar to Brandt et al. (2009) and DeMiguel et al. (2017). Plugging Eq.”
A Transaction-Cost Perspective on the Multitude of Firm Characteristics (2020, neutral): “…firm-specific characteristic at time t, θk is the weight of the kth characteristic in the parametric portfolio, and Nt is the number of firms at time t.11 As in Brandt et al. (2009), we consider a portfolio that is fully invested in risky assets.12 The parametric portfolio can also be written in…”
Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data (2017, methodology): “A fourth approach consists in modeling directly the portfolio weights in the spirit of Aït-Sahalia and Brandt (2001) as a function of the asset’s characteristics (Brandt et al., 2009).”
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009, methodology): “…evaluated in DeMiguel et al. (2007), and also other strategies proposed in the literature, including factor portfolios and the parametric portfolios in Brandt et al. (2005); however, the variance of the normconstrained portfolios is similar to that of the portfolios in Ledoit and Wolf (2003, 2004).”