Dynamic Portfolio Selection by Augmenting the Asset Space  

Oleh:

Brandt, Michael W. ; Santa-Clara, Pedro

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 5 (Okt. 2006), page 2187-2218.
Topik: portfolio; studies; portfolio diversification; investment policy; rates of return; regression analysis; securities trading
Fulltext: p 2187.pdf (258.04KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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We present a novel approach to dynamic portfolio selection that is as easy to implement as the static markoitz paradigm. We expand the set of assets to include mechanically managed portfolios and optimize statistically in each asset an amount proportional to conditioning variables, and timing portfolios, which invest in each asset for a single period and in the risk free asset for all other periods. The static choice of these managed portfolios represents a dynamic strategy that closely approximates the optimal dynamic strategy for horizons up to 5 years.

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