Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets

DOI10.1016/J.EJOR.2014.01.030zbMath1338.91125OpenAlexW3121606173MaRDI QIDQ299865

Daniele Bianchi, Massimo Guidolin

Publication date: 23 June 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.01.030

zbMATH Keywords

investment analysisfinancepredictabilityportfolio choice

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks ⋮ Asset allocation with correlation: a composite trade-off ⋮ Massively parallel processing of recursive multi-period portfolio models ⋮ Mildly explosive dynamics in U.S. fixed income markets ⋮ Long-run wavelet-based correlation for financial time series

Cites Work

• Hedging effectiveness of stock index futures
• Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
• Bayesian portfolio selection with multi-variate random variance models
• Discrete time market with serial correlations and optimal myopic strategies
• Is the predictability of emerging and developed stock markets really exploitable?
• Conditional VaR estimation using Pearson's type IV distribution
• Portfolio selection in stochastic markets with HARA utility functions
• Dynamic stochastic programming for asset-liability management
• Multi-stage stochastic linear programs for portfolio optimization
• The performance of stochastic dynamic and fixed mix portfolio models
• Approximate portfolio analysis
• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
• Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
• Portfolio performance evaluation in a mean--variance--skewness framework
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Sharpe thinking in asset ranking with one-sided measures
• On the conditions for precautionary saving
• A note on some limitations of CRRA utility

This page was built for publication: Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets