Dynamic portfolio selection by augmentingthe asset space

• 成果类型: Article
• 署名作者: Brandt, Michael W.; Santa-Clara, Pedro
• 署名单位: Duke University; National Bureau of Economic Research; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.01055.x
• 发表日期: 2006
• 页码: 2187-2217
• 关键词: EXPECTED RETURNS; conditioning information; STOCK; consumption; algorithms; prices; CHOICE

摘要

We present a novel approach to dynamic portfolio selection that is as easy to implement as the static Markowitz paradigm. We expand the set of assets to include mechanically managed portfolios and optimize statically in this extended asset space. We consider conditional portfolios, which invest in each asset an amount proportional to conditioning variables, and timing portfolios, which invest in each asset for a single period and in the risk-free asset for all other periods. The static choice of these managed portfolios represents a dynamic strategy that closely approximates the optimal dynamic strategy for horizons up to 5 years.