We determine a simple dynamic benchmark for asset allocation by solving an optimal stochastic control problem for outperforming the traditional constant proportion benchmark. An objective function based on a time averaged quadratic deviation from an elevated benchmark is proposed. We argue that...

This study comprehensively evaluates and ranks a large number of competing explanations for the momentum anomaly. As a benchmark for evaluation, firm fundamentals are found to be the most promising among well-known explanations of momentum, followed by prospect theory and mental accounting, and...