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Dynamic portfolio selection by augmenting the asset space

Publication ,  Journal Article
Brandt, MW; Santa-Clara, P
Published in: Journal of Finance
October 1, 2006

We present a novel approach to dynamic portfolio selection that is as easy to implement as the static Markowitz paradigm. We expand the set of assets to include mechanically managed portfolios and optimize statically in this extended asset space. We consider "conditional" portfolios, which invest in each asset an amount proportional to conditioning variables, and "timing" portfolios, which invest in each asset for a single period and in the risk-free asset for all other periods. The static choice of these managed portfolios represents a dynamic strategy that closely approximates the optimal dynamic strategy for horizons up to 5 years.

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Published In

Journal of Finance

DOI

EISSN

1540-6261

ISSN

0022-1082

Publication Date

October 1, 2006

Volume

61

Issue

5

Start / End Page

2187 / 2217

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment
 

Citation

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Brandt, M. W., & Santa-Clara, P. (2006). Dynamic portfolio selection by augmenting the asset space. Journal of Finance, 61(5), 2187–2217. https://doi.org/10.1111/j.1540-6261.2006.01055.x
Brandt, M. W., and P. Santa-Clara. “Dynamic portfolio selection by augmenting the asset space.” Journal of Finance 61, no. 5 (October 1, 2006): 2187–2217. https://doi.org/10.1111/j.1540-6261.2006.01055.x.
Brandt MW, Santa-Clara P. Dynamic portfolio selection by augmenting the asset space. Journal of Finance. 2006 Oct 1;61(5):2187–217.
Brandt, M. W., and P. Santa-Clara. “Dynamic portfolio selection by augmenting the asset space.” Journal of Finance, vol. 61, no. 5, Oct. 2006, pp. 2187–217. Scopus, doi:10.1111/j.1540-6261.2006.01055.x.
Brandt MW, Santa-Clara P. Dynamic portfolio selection by augmenting the asset space. Journal of Finance. 2006 Oct 1;61(5):2187–2217.
Journal cover image

Published In

Journal of Finance

DOI

EISSN

1540-6261

ISSN

0022-1082

Publication Date

October 1, 2006

Volume

61

Issue

5

Start / End Page

2187 / 2217

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment