This study aims to demonstrate the optimal multiperiod dynamic asset allocation for a generalized situation and enable the investor to maximize his expected terminal wealth utility. Previous researches solved this problem constrained by the investor's utility function, the asset return...

Using a returns-based style analysis approach, we develop a dominant timing indicator to measure each fund's ability to take advantage of movements in their dominant passive index. We apply this to a sample of Australian multi-sector funds over the period 1990 to 2005. We find evidence that the...