Portfolio Selection Under Supply Chain Predictability

Computational Management Science, 2018, 15(2), 139-159

23 Pages Posted: 29 Mar 2016 Last revised: 31 Dec 2018

See all articles by Thomas Bjerring

Thomas Bjerring

Technical University of Denmark - Management Engineering

Kourosh Marjani Rasmussen

Technical University of Denmark

Alex Weissensteiner

Free University of Bolzano Bozen

Date Written: June 24, 2016

Abstract

We investigate whether the returns of some industry portfolios predict the returns of other industry portfolios. We find a strong lead-lag structure which is statistically and economically significant. These findings suggest that information diffuses only gradually across industries. Moreover, we show that this predictability can be exploited in a mean-variance optimization framework. The calculated out-of-sample portfolio returns are attractive under different return-risk measures, and they show positive risk-adjusted

Keywords: Predictability of Returns, Supply Chain, Scenario Generation, Portfolio Selection, Stochastic Programming

JEL Classification: C32, C44, C53, C61, G11

Suggested Citation

Bjerring, Thomas and Rasmussen, Kourosh Marjani and Weissensteiner, Alex, Portfolio Selection Under Supply Chain Predictability (June 24, 2016). Computational Management Science, 2018, 15(2), 139-159. Available at SSRN: https://ssrn.com/abstract=2755474 or http://dx.doi.org/10.2139/ssrn.2755474

Thomas Bjerring (Contact Author)

Technical University of Denmark - Management Engineering ( email )

Produktionstorvet 424
room 043
Kgs. Lyngby, 2800
Denmark

Kourosh Marjani Rasmussen

Technical University of Denmark ( email )

Anker Engelunds Vej 1
Building 101A
Lyngby, 2800
Denmark

Alex Weissensteiner

Free University of Bolzano Bozen ( email )

Universitätsplatz 1
Bolzano, 39100
+39 0471 013496 (Phone)

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