Performance persistence and optimal asset allocation strategies
研究最优资产配置策略是否能持续产生优异业绩，发现没有单一策略在整个样本期持续跑赢其他策略，但在部分子样本期有些策略表现持续优于基准。
This study explores whether optimal asset allocation strategies, defined by permutations and combinations of different predictor variables, produce consistently superior performance for investors. We extend the literature by exploring whether such strategies benefit investors over the entire investment period or whether investors are forced to switch among alternative strategies over time. As benchmarks, we employ the 1/N (equally weighted) and the myopic (no predictability) strategies. Persistence tests suggest that no single optimal strategy outperforms the remaining optimal and benchmark strategies over the entire sample. However, in two out of three subsample periods, some optimal strategies persistently outperform the benchmarks.