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来源类型Working Paper
规范类型报告
DOI10.3386/w10372
来源IDWorking Paper 10372
Dynamic Portfolio Selection by Augmenting the Asset Space
Michael W. Brandt; Pedro Santa-Clara
发表日期2004-03-22
出版年2004
语种英语
摘要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.
主题Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w10372
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/568001
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GB/T 7714
Michael W. Brandt,Pedro Santa-Clara. Dynamic Portfolio Selection by Augmenting the Asset Space. 2004.
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