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Optimal bets in oil-related stocks: a quantitative approach

Kongslie, Petter; Nordli, Peder Melsnes
Master thesis
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URI
http://hdl.handle.net/11250/2383359
Date
2015
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  • Master Thesis [4207]
Abstract
This thesis examines how implied cost of equity from fundamental valuations

affect optimal allocation for a marginal investor, net of costs. We find Black-

Litterman long-only restricted portfolio incorporating implied cost of equity

outperform peer-group benchmark by 0.22 larger monthly information ratio.

Moreover, a non-short restricted portfolio constructed on implied earnings

yield outperform peer-group index by 0.12 larger monthly information ratio.

Simple historic allocation models with and without covariance shrinkage

perform poorly and get outperformed by peer-index in the non-short restricted

case by 0.10 and 0.64 larger monthly information ratio, respectively.

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