Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation
评估了长期投资者采用优化动态交易策略的样本外表现，发现动态策略与短期市场择时策略表现几乎相同，跨期对冲需求价值可忽略，估计误差是主要原因。
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. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2014.1924 . This paper was accepted by Brad Barber, finance.