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Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches

Author

Listed:
  • M. Gilli

    (Econometrics University of Geneva)

  • I. Roko

Abstract

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 predictions of higher returns from one asset relative to another. In the other approach the optimal portfolio weights are directly determined from some predictive variables (Ait-Sahalia and Brandt, (2001))

Suggested Citation

  • M. Gilli & I. Roko, 2005. "Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches," Computing in Economics and Finance 2005 338, Society for Computational Economics.
    • Handle: RePEc:sce:scecf5:338
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    More about this item

    Keywords

    TAA; Portfolio Optimization; Classification Trees;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions

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