Levels of economic concentration for the Treynor-Black model

Fiche du document

Auteur
Date

2023

Discipline
Type de document
Périmètre
Langue
Identifiants
Source

Análisis Económico

Relations

Ce document est lié à :
http://www.redalyc.org/revista.oa

Collection

REDALYC : Red de Revistas Científicas de América Latina y el Caribe, España y Portugal

Organisation

Red de Revistas Científicas de América Latina y el Caribe, España y Portugal

Licence

Análisis Económico

Mots-clés Und

Economía y Finanzas CAPM Appraisal portfolio selection portfolio diversification

Sujets proches En

Pattern Model

Citer ce document

Ángel Samaniego, « Levels of economic concentration for the Treynor-Black model », Análisis Económico, ID : 10670/1.d874c0...

Métriques

Partage / Export

Résumé 0

The levels of economic concentration in investment portfolios are studied using the Herfindahl index (HI). From portfolios formed with the Treynor-Black (TB) model, only in its active part. Using the components included in the Dow Jones Industrial Average (DJIA) between 2000-2020. Although the TB model outperforms the DJIA, it presents investment periods with a low HI. Portfolios with HI>=0.885 (between 11 to 17 assets) do not outperform the DJIA. On the contrary, when TB portfolios with HI0.05. Having an average return of 17.1%, with an 83.2% probability of outperforming the DJIA, and. 85.3% probability of returns above zero.

document thumbnail

Par les mêmes auteurs

Sur les mêmes sujets

Sur les mêmes disciplines