A Note on Dynamic Investment Strategies and Mean-Variance Dominance of the Constant-Mix Rule

This note discusses several often overlooked properties of the constant-mix dynamic asset allocation rule. The mean- variance dominance of two-asset CM portfolios relative to buy-and-hold portfolios makes the inclusion of CM subportfolios a potentially useful tool for managing the levels of risk and return of larger portfolios

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Year of publication:	[2011]
Authors:	Trippi, Robert R.
Publisher:	[2011]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Notes:	In: ADVANCES IN FUTURES AND OPTIONS RESEARCH, Vol. 7, Don M. Chance and Robert R. Trippi, 1994 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 4, 2011 erstellt
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012757489