Dynamic portfolio selection by augmenting the asset space

Dynamic portfolio selection by augmenting the ...
Michael W. Brandt, Michael W. ...
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Last edited by MARC Bot
December 13, 2020 | History

Dynamic portfolio selection by augmenting the asset space

"We present a novel approach to dynamic portfolio selection that is no more difficult to implement than the static Markowitz model. The idea is to expand the asset space to include simple (mechanically) managed portfolios and compute the optimal static portfolio in this extended asset space. The intuition is that a static choice among managed portfolios is equivalent to a dynamic strategy. We consider managed portfolios of two types: "conditional" and "timing" portfolios. Conditional portfolios are constructed along the lines of Hansen and Richard (1987). For each variable that affects the distribution of returns and for each basis asset, we include a portfolio that invests in the basis asset an amount proportional to the level of the conditioning variable. Timing portfolios invest in each basis asset for a single period and therefore mimic strategies that buy and sell the asset through time. We apply our method to a problem of dynamic asset allocation across stocks, bonds, and cash using the predictive ability of four conditioning variables"--National Bureau of Economic Research web site.

Publish Date
Language
English

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Edition Availability
Cover of: Dynamic portfolio selection by augmenting the asset space
Dynamic portfolio selection by augmenting the asset space
2004, National Bureau of Economic Research
Electronic resource in English

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Book Details


Edition Notes

Includes bibliographical references.
Title from PDF file as viewed on 1/14/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.

Published in
Cambridge, MA
Series
NBER working paper series ;, working paper 10372, Working paper series (National Bureau of Economic Research : Online) ;, working paper no. 10372.

Classifications

Library of Congress
HB1

The Physical Object

Format
Electronic resource

ID Numbers

Open Library
OL3476277M
LCCN
2005615742

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History

Download catalog record: RDF / JSON
December 13, 2020 Edited by MARC Bot import existing book
December 5, 2010 Edited by Open Library Bot Added subjects from MARC records.
December 10, 2009 Created by WorkBot add works page