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It's all in the timing : simple active portfolio strategies taht outperform na?ve diversification

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DeMiguel, Garlappi, and Uppal (2009) report that na?ve diversification dominates mean-variance optimization in out-of-sample asset allocation tests. Our analysis suggests that this is largely due to their research design, which focuses on portfolios that are subject to high estimation risk and extreme turnover. We find that mean-variance optimization often outperforms na?ve diversification, but turnover can erode its advantage in the presence of transaction costs. To address this issue, we develop 2 new methods of mean-variance portfolio selection (volatility timing and reward-to-risk timing) that deliver portfolios characterized by low turnover. These timing strategies outperform na?ve diversification even in the presence of high transaction costs..Printed Journal, baca ditempat

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Ketersediaan

Call Number	Location	Available
JFQA4702	PSB lt.dasar - Pascasarjana	1

Penerbit	Cambridge Cambridge University Press.,
Edisi	-
Subjek	-
ISBN/ISSN	221090
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data