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.2014.01.030zbMath1338.91125OpenAlexW3121606173MaRDI 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
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
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