Portfolio Frequency Structure Preferences

52 Pages Posted: 8 Jul 2016 Last revised: 24 Nov 2020

See all articles by Louis R. Piccotti

Louis R. Piccotti

Oklahoma State University - Stillwater - Spears School of Business

Date Written: November 23, 2020

Abstract

I examine the optimal portfolio allocation for investors with risk frequency preferences. As an implication, the portfolio opportunity set can be uniquely constructed from a set of basis frequency structures. Factor model representations represent restrictions on the frequency structure space, which is equivalent to finding a linear combination of frequency structures that are required to price a portfolio. A portfolio’s alpha results from the frequency structure misalignment between the marginal investor and the factor model implied one.

Keywords: Asset pricing, Equity risk premium, Frequency domain

JEL Classification: C60, G11, G12

Suggested Citation

Piccotti, Louis R., Portfolio Frequency Structure Preferences (November 23, 2020). Available at SSRN: https://ssrn.com/abstract=2805629 or http://dx.doi.org/10.2139/ssrn.2805629

Louis R. Piccotti (Contact Author)

Oklahoma State University - Stillwater - Spears School of Business ( email )

460 Business
Stillwater, OK 74078-0555
United States

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