3505084: After-Work Lecture: When does Portfolio Optimization Pay?

Beschreibung

Passive investments have gained wide acceptance in the investor community. Yet the question is to what extent this is costly for investors. We address two issues: 1) Return predictability and portfolio choice. Return predictability relies primarily on the Fama-French factors and the Carhart factor. Do these factors yield free lunches? 2) Risk preferences and portfolio choice. A simple adjustment for differences in risk preferences turns out to be costless unless approximate arbitrage opportunities exist.