It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification
研究发现均值方差优化在考虑交易成本后常优于简单分散化，但高换手率会侵蚀优势；为此提出两种低换手率的择时策略（波动率择时和风险收益比择时），在高交易成本下仍能超越简单分散化。
Abstract DeMiguel, Garlappi, and Uppal (2009) report that naïve diversification dominates mean-variance optimization in out-of-sample asset allocation tests. Our analysis suggests that this is largely due to their research design, which focuses on portfolios that are subject to high estimation risk and extreme turnover. We find that mean-variance optimization often outperforms naïve diversification, but turnover can erode its advantage in the presence of transaction costs. To address this issue, we develop 2 new methods of mean-variance portfolio selection (volatility timing and reward-to-risk timing) that deliver portfolios characterized by low turnover. These timing strategies outperform naïve diversification even in the presence of high transaction costs.