Strategic Planning

Anomalies and Efficient Portfolio Formation by S. P. Kothari

By S. P. Kothari

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9) Note: See Table 2 notes. book Page 37 Thursday, December 19, 2002 11:51 AM Anomalies and Efficient Portfolio Formation Figure 4. Second-Year Size-Tilt Portfolio Performance, July 1963– June 1999 Data A. Excess Returns Excess Return (%) 12 10 8 6 4 2 0 −2 −4 0 20 40 60 80 100 60 80 100 60 80 100 Tilt (%) B. M2 M2 (%) 8 6 4 2 0 −2 −4 0 20 40 Tilt (%) C. book Page 38 Thursday, December 19, 2002 11:51 AM Anomalies and Efficient Portfolio Formation Table 8. Second-Year Performance of Portfolios Tilted toward BV/MV Quintiles, July 1963–June 1999 Data A.

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23 Shrinkage implies that the prior for alpha is informative, which means that our analysis with uninformative priors overstates the impact of estimation risk in this case. Also, our conclusions are essentially unchanged if parameter uncertainty regarding the market index parameters is ignored. book Page 32 Thursday, December 19, 2002 11:51 AM Anomalies and Efficient Portfolio Formation The discussion in this section formalized these concepts in the context of optimal portfolio formation. We found that, under plausible assumptions, giving consideration to parameter uncertainty changes the optimal asset allocation to some extent but not substantially.

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