Equally Weighted vs. Long‐Run Optimal Portfolios
通过1995-2009年的数据实验，发现长期投资者利用回报可预测性的优化策略平均表现优于等权重组合，并分析了风险厌恶、预测变量数量和交易成本的影响。
Abstract Out‐of‐sample experiments cast doubt on the ability of portfolio optimising strategies to outperform equally weighted portfolios, when investors have a 1‐month time horizon. This paper examines whether this finding holds for longer investment horizons over which the optimising strategy exploits linear predictability in returns. Our experiments indicate that investors with longer horizons on average would have benefited, ex post, from an optimising strategy over the period 1995–2009. We analyse performance sensitivity to investor risk aversion, to the number of predictors included in the forecasting model and to the deduction of transaction costs from portfolio performance.