Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
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Publication:299865
DOI10.1016/J.EJOR.2014.01.030zbMATH Open1338.91125OpenAlexW3121606173MaRDI QIDQ299865FDOQ299865
Authors: 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
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Cites Work
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- A note on some limitations of CRRA utility
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Cited In (10)
- Asset allocation with correlation: a composite trade-off
- Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- Massively parallel processing of recursive multi-period portfolio models
- Long-run wavelet-based correlation for financial time series
- Mildly explosive dynamics in U.S. fixed income markets
- Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
- Improving performance for long-term investors: wide diversification, leverage, and overlay strategies
- Factor investing for the long run
- An out-of-sample evaluation of dynamic portfolio strategies
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