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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w10372 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w10372 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568001 |
推荐引用方式 GB/T 7714 | Michael W. Brandt,Pedro Santa-Clara. Dynamic Portfolio Selection by Augmenting the Asset Space. 2004. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w10372.pdf(376KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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