Dynamic trading strategies and portfolio choice
by Ravi Bansal
"Traditional mean-variance efficient portfolios do not capture the potential wealth creation opportunities provided by predictability of asset returns. We propose a simple method for constructing optimally managed portfolios that exploits the possibility that asset returns are predictable. We implement these portfolios in both single and multi-period horizon settings. We compare alternative portfolio strategies which include both buy-and-hold and fixed weight portfolios. We find that managed portfolios can significantly improve the mean-variance trade-off, in particular, for investors with investment horizons of three to five years. Also, in contrast to popular advice, we show that the buy-and-hold strategy should be avoided"--National Bureau of Economic Research web site.
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Portfolio management, Stocks| Edition | Availability |
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1
Dynamic trading strategies and portfolio choice
2004, National Bureau of Economic Research
Electronic resource
in /languages/eng
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Dynamic trading strategies and portfolio choice
2004, National Bureau of Economic Research
in /languages/eng
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Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 1/7/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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