Title: Dynamic trading strategies and portfolio choice
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.
Subjects: Portfolio management, Stocks