Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation

• 成果类型: Article
• 署名作者: Diris, Bart; Palm, Franz; Schotman, Peter
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Maastricht University; Maastricht University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.1924
• 发表日期: 2015
• 页码: 2185-2202
• 关键词: STRATEGIC ASSET ALLOCATION; out-of-sample analysis; Performance evaluation; finance; portfolio

摘要

We evaluate the out-of-sample performance of a long-term investor who follows an optimized dynamic trading strategy. Although the dynamic strategy is able to benefit from predictability out-of-sample, a short-term investor using a single-period market timing strategy would have realized an almost identical performance. The value of intertemporal hedge demands in strategic asset allocation appears negligible. The result is caused by the estimation error in predicting the predictors. A myopic investor only needs to predict one-period-ahead expected returns, but hedge demands also require accurate predictions of the predictor variables. To reduce the problem of errors in optimized portfolio weights, we consider Bayesian procedures. Myopic and dynamic portfolios are similarly affected by such modifications, and differences in performance become even smaller.