Targets, Predictability, and Performance
研究在给定投资组合上通过市场择时策略实现风险或收益目标的效果，发现风险目标策略在常见投资机会范围内表现优于收益目标策略，且收益目标因预测能力不足而难以实际应用。
We study market-timing strategies on a given portfolio to achieve a particular risk or return target. Targeting a constant risk level leads to increasing investment at better investment opportunities, whereas targeting a constant expected return does the opposite. Theoretical and numerical analysis shows that within the usual ranges of investment opportunities, risk targeting generates better unconditional performance than return targeting across a wide range of metrics. Empirical analysis with commonly constructed stock portfolios further highlights the practical infeasibility of return targeting due to the inherently low out-of-sample predicting power. By contrast, risk targeting tends to enhance unconditional stability and performance. This paper was accepted by Kay Giesecke, finance.