This study explores whether optimal asset allocation strategies, defined by permutations and combinations of different predictor variables, produce consistently superior performance for investors. We extend the literature by exploring whether such strategies benefit investors over the entire investment period or whether investors are forced to switch among alternative strategies over time. As benchmarks, we employ the 1/N (equally weighted) and the myopic (no predictability) strategies. Persistence tests suggest that no single optimal strategy outperforms the remaining optimal and benchmark strategies over the entire sample. However, in two out of three subsample periods, some optimal strategies persistently outperform the benchmarks.
Performance persistence and optimal asset allocation strategies
Desai, Prajakta;Guidolin, Massimo
2022
Abstract
This study explores whether optimal asset allocation strategies, defined by permutations and combinations of different predictor variables, produce consistently superior performance for investors. We extend the literature by exploring whether such strategies benefit investors over the entire investment period or whether investors are forced to switch among alternative strategies over time. As benchmarks, we employ the 1/N (equally weighted) and the myopic (no predictability) strategies. Persistence tests suggest that no single optimal strategy outperforms the remaining optimal and benchmark strategies over the entire sample. However, in two out of three subsample periods, some optimal strategies persistently outperform the benchmarks.File | Dimensione | Formato | |
---|---|---|---|
Performance persistence and optimal asset allocation strategies.pdf
non disponibili
Descrizione: article
Tipologia:
Pdf editoriale (Publisher's layout)
Licenza:
NON PUBBLICO - Accesso privato/ristretto
Dimensione
2.24 MB
Formato
Adobe PDF
|
2.24 MB | Adobe PDF | Visualizza/Apri |
EJF Acceptance email.pdf
non disponibili
Tipologia:
Allegato per valutazione Bocconi (Attachment for Bocconi evaluation)
Licenza:
NON PUBBLICO - Accesso privato/ristretto
Dimensione
137.44 kB
Formato
Adobe PDF
|
137.44 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.