Tag Archives: Return Forecasting

Return Forecasting via (Robust) Regression in quant analytics

Return Forecasting via (Robust) Regression in quant analytics

High! Can anybody suggest a good reference paper on Return Forecasting via factor regression.

In particular I am interested in the optimal choice of the return frequency (daily, weekly, monthly…) and on the pros and cons of using overlapping returns (say monthly or quartely) returns.
In fact, I am interested in low turnover portfolios.

Another question, does anybody knows any reference on robust regression methods applied to finance and return forecasting?

 

 

I’d suggest: Portfolio Selection with Robust Estimation
http://www.est.uc3m.es/fjnm/esp/papers/RobustPortfolios.pdf

It applies robust regression methods to compute optimal portfolios. Although nothing to do with return forecasting.

 

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Daily returns understate beta. Monthly is better, if available.
http://people.stern.nyu.edu/adamodar/New_Home_Page/AppldCF/derivn/ch4deriv.html

 

Chapter 6 of the book “Introduction to Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes” by Bernd Scherer and Doug Martin talks about robust statistical methods and portfolio construction. Are you looking for something more specific?

 

 

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