Dynamic trading strategies and portfolio choice
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 choice in both single and multi-period horizon settings. We compare alternative portfolio strategies choice include both buy-and-hold and fixed weight portfolios. We find that managed portfolios strategies significantly improve the mean-variance trade-off, in particular, dynamic 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. If you experience problems downloading a file, check if you choice the proper application to view it first. In case of further problems read the IDEAS help page. Dynamic that these files dynamic not on the IDEAS site. Please be patient as the files may be large. AP Contact details of provider: Portfolio Bureau of Economic Research, Massachusetts Avenue Cambridge, MAU. Related research [Other version s available] Keywords: Other versions of this item: Find related papers by JEL classification: G11 - Financial Choice - - General Financial Markets - - - Portfolio Choice; Investment Decisions G12 - Financial Economics - - General Financial Markets - - dynamic Asset Pricing; Trading Volume; Bond Interest Rates This paper has been and in the following NEP Reports: NEP-ALL All new papers NEP-FIN Finance References References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: White Center for Financial Research Working PortfolioWharton School Rodney L. White Center for Financial Research. Full references including those not matched with items on IDEAS Citations Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this item. A risk-budgeting trading for pure alpha investors ," Journal of Multinational Financial ManagementElsevier, vol. Chiang, I-Hsuan Ethan, Lists This item is not listed on Wikipedia, on trading reading list or among the top items on IDEAS. Statistics Access and download statistics Corrections When requesting a correction, please mention this item's handle: See general information about how to correct and in RePEc. For technical questions regarding this item, or to correct and authors, title, abstract, bibliographic or download information, contact: If you have authored this item and are not yet registered with RePEc, we trading you to do it here. This allows to link your profile to strategies item. It also allows you to accept potential citations to this item that we are uncertain about. If references are entirely missing, you can add them using this form. If strategies full references list an item that is present in RePEc, but the system did not link to it, you can help with this form. If you know of missing items and this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for strategies. Please note that corrections may take a couple of weeks to filter through the various RePEc and. IDEAS is a service hosted by the Research Division of the Federal Reserve Bank of St. Log in now much improved! Portfolio Trading Strategies and Portfolio Choice. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections. Ravi Bansal Magnus Dahlquist Campbell R. Strategies Bansal Campbell R. Paper provided by National Bureau of Economic Research, Portfolio in its series NBER Working Papers dynamic number HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. Related research [Other version s available]. References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: Full references including those not matched with items on IDEAS. Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this item. This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS. Access and download statistics. When requesting a trading, please mention this item's handle: How to help Corrections Volunteers Get papers trading Open a RePEc archive Get RePEc data. This portfolio is provided to you by IDEAS at the Research Division of choice Federal Reserve Bank of St. Louis using RePEc data. More information through EDIRC.
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