Long-term investors can markedly improve their investment performance by incorporating specialized 'overlay' securities/strategies in conjunction with widely diversified and leveraged multi-stage portfolios. The overlays require no dedicated capital beyond the core portfolio, providing higher risk-adjusted portfolio returns than approaches based on traditional leverage. A primary example involves the futures market for commodities, currencies and fixed income. These liquid markets display novel patterns of returns relative to traditional equity/bond asset categories. We measure benefits via back tests with several fixed-mix rules, as well as within a stochastic program.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Publisher Info
Article provided by Taylor and Francis Journals in its journal Quantitative Finance.
Volume (Year): 7 (2007) Issue (Month): 2 () Pages: 175-187 Download reference. The following formats are available: HTML,
plain text,
BibTeX,
RIS (EndNote),
ReDIF