Target Return Strategy
研究了目标回报策略，即达到预设回报目标后退出市场，发现该策略在均值-方差上优于持有期回报，并能通过优化训练目标改善福利，同时解释了处置效应并质疑市场有效性。
ABSTRACT We study the target return strategy (TRS), which exits the market once the return reaches a preset target. We show that the holding‐period return (HPR) cannot mean‐variance dominate TRS, but TRS can mean‐variance dominate HPR. We theoretically analyze TRS and quantitatively illustrate that training targets by a mean‐variance utility optimization algorithm based on recent HPRs and peak returns can improve welfare. By exiting at targets, TRS preempts potential price reversals, manages investment risk, enhances risk‐return profiles, and encourages market participation. TRS justifies the use of price‐contingent orders, explains the disposition effect, and questions market efficiency.