Dynamic Portfolio Selection by Augmenting the Asset Space
提出一种动态投资组合选择的新方法，其实现难度与静态马科维茨模型相当。通过扩展资产集纳入机械管理的投资组合，并在此扩展空间中进行静态优化，该方法能近似最优动态策略，尤其适用于5年以内的投资期限。
ABSTRACT 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.