To revise or not to revise? This is the question
研究了买入持有与定期修订两种投资策略，发现对于20年以内的投资期限，两种策略均有效；但超过20年，买入持有策略通过几乎一阶随机占优规则优于修订策略。
Abstract Buy and hold and periodical revisions are two competing investment strategies. Revising to the optimal one-period investment weights seemingly dominates the buy-and-hold strategy with random and uncontrolled investment weights determined by asset price changes. This intuition is misleading as both investment strategies are theoretically included in the risk aversion efficient set. Considering only economically relevant preferences, with stocks-bonds portfolios, both strategies are empirically included in the risk aversion efficient set as long as the investment horizon is shorter than 20 years. However, for an investment horizon longer than twenty years, the buy and hold strategy empirically dominates the revision strategy by Almost First-degree Stochastic Dominance ( $$AFSD$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mrow> <mml:mi>AFSD</mml:mi> </mml:mrow> </mml:math> ) rule, namely by all economically relevant utility functions. When the horizon is indefinitely long, holding only stocks dominates the stock–bond portfolios of both the B&H(S) and the RV(S). However, this theoretical result may be practically irrelevant for most investors with a horizon shorter than 20 years.