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Annals of Operations Research

, Volume 45, Issue 1, pp 91–108 | Cite as

The development of efficient portfolios in Japan with particular emphasis on sales and earnings forecasting

  • John B. GuerardJr.
  • Makoto Takano
  • Yuji Yamane
Article

Abstract

In this study, we show that earnings forecasting creates an index-tracking portfolio that dominates the historical model trade-off curve. We find that using Toyo Keizai earnings forecasts improves geometric means by over 300 basis points compared to the historical model. Weighted latent root regression is used in this study to create portfolios that have outperformed the Japanese market in backtest and in real-time performance.

Keywords

Japan Latent Root Basis Point Earning Forecast Historical Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© J.C. Baltzer AG, Science Publishers 1993

Authors and Affiliations

  • John B. GuerardJr.
    • 1
    • 2
  • Makoto Takano
    • 1
    • 2
  • Yuji Yamane
    • 1
    • 2
  1. 1.Daiwa Securities Trust CompanyOne Evertrust PlazaJersey CityUSA
  2. 2.Daiwa Institute of ResearchTokyoJapan

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