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TACTICAL ASSET ALLOCATION: CAN IT WORK?
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 17, Heft 4, S. 465-479
ISSN: 1475-6803
AbstractMarket events of the past ten years have sparked an interest in tactical asset allocation. In the current study we develop and test a model that incorporates currently available information into the tactical asset allocation process. The model provides an estimate of the probabilities that the upcoming market period will be bullish or bearish. Logit analysis is employed to determine which of the various timely and readily available data significantly affect these probabilities. These estimated probabilities are used to suggest the optimal allocations of funds over time between the risk‐free asset and the market portfolio. Then, several timing strategies are compared with a buy‐and‐hold portfolio. An asset allocation strategy based on the probabilities assigned by the logit model appears to achieve greater terminal wealth with less variability of returns. Similar results are obtained for both an initial sample (1962–76 in our model) and a holdout sample (1977–88).
Strategic and tactical asset allocation: an integrated approach
This book covers each step in the asset allocation process, addressing as many of the relevant questions as possible along the way. How can we formulate expectations about long-term returns? How relevant are valuations? What are the challenges to optimizing the portfolio? Can factor investing add value and, if so, how can it be implemented? Which are the key performance drivers for each asset class, and what determines how they are correlated? How can we apply insights about the business cycle to tactical asset allocation? The book is aimed at finance professionals and others looking for a coherent framework for decision-making in asset allocation, both at the strategic and tactical level. It stresses analysis rather than pre-conceived ideas about investments, and it draws on both empirical research and practical experience to give the reader as strong a background as possible.--
Credit-Informed Tactical Asset Allocation - 10 Years On
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Relative Sentiment and Machine Learning for Tactical Asset Allocation
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Tactical Asset Allocation and Stock Issuance in the Korean Stock Market
In: Emerging markets, finance and trade: EMFT, Band 49, Heft sup4, S. 93-103
ISSN: 1558-0938
On the Relevance of Strategic and Tactical Asset Allocation for Portfolio Insurance
In: Risk & Reward, Band 2020, Heft issue
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Properties of the Margrabe Best-of-Two Strategy to Tactical Asset Allocation
In: International Review of Financial Analysis, Band 81
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Applied financial macroeconomics & investment strategy: a practitioner's guide to tactical asset allocation
In: Global financial markets series
The Cross-section of Industry Equity Returns and Global Tactical Asset Allocation across Regions and Industries
In: International Review of Financial Analysis, Band 72
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Strategic Asset Allocation
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