Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
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Cites work
- A note on some limitations of CRRA utility
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Approximate portfolio analysis
- Bayesian portfolio selection with multi-variate random variance models
- Conditional VaR estimation using Pearson's type IV distribution
- Discrete time market with serial correlations and optimal myopic strategies
- Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
- Dynamic stochastic programming for asset-liability management
- Hedging effectiveness of stock index futures
- Is the predictability of emerging and developed stock markets really exploitable?
- Multi-stage stochastic linear programs for portfolio optimization
- On the conditions for precautionary saving
- Portfolio optimization when asset returns have the Gaussian mixture distribution
- Portfolio performance evaluation in a mean--variance--skewness framework
- Portfolio selection in stochastic markets with HARA utility functions
- Sharpe thinking in asset ranking with one-sided measures
- Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
- The performance of stochastic dynamic and fixed mix portfolio models
Cited in
(11)- Asset allocation with correlation: a composite trade-off
- Improving performance for long-term investors: wide diversification, leverage, and overlay strategies
- Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
- An out-of-sample evaluation of dynamic portfolio strategies
- Factor investing for the long run
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- Mildly explosive dynamics in U.S. fixed income markets
- Evaluation of strategy portfolios
- Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
- Long-run wavelet-based correlation for financial time series
- Massively parallel processing of recursive multi-period portfolio models
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