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"Traditional mean-variance efficient portfolios do not capture the potential wealth creation opportunities provided by predictability of asset returns. We propose a simple method for constructing optimally managed portfolios that exploits the possibility that asset returns are predictable. We implement these portfolios in both single and multi-period horizon settings. We compare alternative portfolio strategies which include both buy-and-hold and fixed weight portfolios. We find that managed portfolios can significantly improve the mean-variance trade-off, in particular, for investors with investment horizons of three to five years. Also, in contrast to popular advice, we show that the buy-and-hold strategy should be avoided"--National Bureau of Economic Research web site.
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Subjects
Portfolio management, StocksShowing 2 featured editions. View all 2 editions?
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1
Dynamic trading strategies and portfolio choice
2004, National Bureau of Economic Research
Electronic resource
in English
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2
Dynamic trading strategies and portfolio choice
2004, National Bureau of Economic Research
in English
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Edition Notes
"September 2004."
Includes bibliographical references.
Also available in PDF from the NBER world wide web site (www.nber.org).
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- Created September 29, 2008
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December 15, 2009 | Edited by WorkBot | link works |
April 25, 2009 | Edited by ImportBot | add OCLC number |
September 29, 2008 | Created by ImportBot | Imported from Oregon Libraries MARC record |