Jensen, Gerald R.; Mercer, Jeffrey M. - In: The Financial Review 38 (2003) 3, pp. 435-454
Brocato and Steed (1998) showed that portfolio rebalancing based on NBER business cycle turning points substantially improves in-sample Markowitz efficiency. In a similar vein, we investigate potential improvements from rebalancing based on turning points in the monetary cycle. We find that the...
