| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10820 |
| 来源ID | Working Paper 10820 |
| Dynamic Trading Strategies and Portfolio Choice | |
| Ravi Bansal; Magnus Dahlquist; Campbell R. Harvey | |
| 发表日期 | 2004-10-04 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w10820 |
| 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/568453 |
| 推荐引用方式 GB/T 7714 | Ravi Bansal,Magnus Dahlquist,Campbell R. Harvey. Dynamic Trading Strategies and Portfolio Choice. 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 | ||
| w10820.pdf（282KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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