Portfolio Selection Under Supply Chain Predictability

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

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Year of publication:	2018
Authors:	Bjerring, Thomas
Other Persons:	Rasmussen, Kourosh Marjani (contributor) ; Weissensteiner, Alex (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Lieferkette \| Supply chain \| Portfolio-Management \| Portfolio selection \| Risikomanagement \| Risk management \| Theorie \| Theory

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