In practical portfolio choice models risk is often defined as VaR, expected shortfall, maximum loss, Omega function, etc. and is computed from simulated future scenarios of the portfolio value. It is well known that the minimization of these functions can not, in general, be performed with...

We propose a comparison of the performance of two alternative approaches for tactical asset allocation (TAA) strategies. Both methods rely on the predictability in series of returns. One approach derives optimal aggressiveness factors, which define the weighting in the portfolio, from...