Dynamic trading strategies and portfolio choice
By: Ravi Bansal, Magnus Dahlquist, Campbell R. Harvey.
Contributors: Dahlquist, Magnus.; Harvey, Campbell R.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10820; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10820.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Stocks.; Portfolio management.
Description: "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.
Notes: Includes bibliographical references.
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Also available in print.
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Mode of access: World Wide Web.