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It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification

Citations

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Cited by:

  1. Florian Methling & Rüdiger Nitzsch, 2019. "Naïve diversification in thematic investing: heuristics for the core satellite investor," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 568-580, December.
  2. Michael Pinelis & David Ruppert, 2020. "Machine Learning Portfolio Allocation," Papers 2003.00656, arXiv.org, revised Jul 2020.
  3. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
  4. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(2), pages 247-285.
  5. Symitsi, Efthymia & Chalvatzis, Konstantinos J., 2019. "The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks," Research in International Business and Finance, Elsevier, vol. 48(C), pages 97-110.
  6. Hsu, Po-Hsuan & Han, Qiheng & Wu, Wensheng & Cao, Zhiguang, 2018. "Asset allocation strategies, data snooping, and the 1 / N rule," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 257-269.
  7. Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
  8. A. Burak Paç & Mustafa Ç. Pınar, 2018. "On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets," Annals of Operations Research, Springer, vol. 266(1), pages 223-253, July.
  9. Bazgour, Tarik & Heuchenne, Cedric & Sougné, Danielle, 2016. "Conditional portfolio allocation: Does aggregate market liquidity matter?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 110-135.
  10. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
  11. Markus Hirschberger & Ralph E. Steuer & Sebastian Utz & Maximilian Wimmer & Yue Qi, 2013. "Computing the Nondominated Surface in Tri-Criterion Portfolio Selection," Operations Research, INFORMS, vol. 61(1), pages 169-183, February.
  12. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
  13. Huang, Hung-Hsi & Lin, Shin-Hung & Wang, Ching-Ping & Chiu, Chia-Yung, 2014. "Adjusting MV-efficient portfolio frontier bias for skewed and non-mesokurtic returns," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 59-83.
  14. Fabrizio Cipollini & Giampiero Gallo & Alessandro Palandri, 2020. "A Dynamic Conditional Approach to Portfolio Weights Forecasting," Econometrics Working Papers Archive 2020_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  15. Michael Curran & Ryan Zalla, 2020. "Can Volatility Solve the Naive Portfolio Puzzle?," Papers 2005.03204, arXiv.org, revised Aug 2020.
  16. Bian, Zhicun & Liao, Yin & O’Neill, Michael & Shi, Jing & Zhang, Xueyong, 2020. "Large-scale minimum variance portfolio allocation using double regularization," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
  17. Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
  18. Erindi Allaj, 0. "The Black–Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation," Computational Management Science, Springer, vol. 0, pages 1-28.
  19. Moura, Guilherme V. & Ruiz, Esther & Santos, André A. P., 2019. "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS 29291, Universidad Carlos III de Madrid. Departamento de Estadística.
  20. Bessler, Wolfgang & Wolff, Dominik, 2015. "Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 1-20.
  21. Apostolos Kourtis & Raphael N. Markellos & Lazaros Symeonidis, 2016. "An International Comparison of Implied, Realized, and GARCH Volatility Forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1164-1193, December.
  22. Chunyang Zhou & Chongfeng Wu & Weidong Xu, 2020. "Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 460-478, March.
  23. Oikonomou, Ioannis & Platanakis, Emmanouil & Sutcliffe, Charles, 2018. "Socially responsible investment portfolios: Does the optimization process matter?," The British Accounting Review, Elsevier, vol. 50(4), pages 379-401.
  24. M. Ryan Haley, 2017. "K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?," Annals of Finance, Springer, vol. 13(3), pages 341-353, August.
  25. Yuki Shigeta, 2017. "Portfolio selections under mean-variance preference with multiple priors for means and variances," Annals of Finance, Springer, vol. 13(1), pages 97-124, February.
  26. Santos, André Alves Portela & Ferreira, Alexandre R., 2017. "On the choice of covariance specifications for portfolio selection problems," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
  27. Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos, 2019. "Covariance Prediction in Large Portfolio Allocation," Econometrics, MDPI, Open Access Journal, vol. 7(2), pages 1-24, May.
  28. Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018. "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 134-147.
  29. Hwang, Inchang & Xu, Simon & In, Francis, 2018. "Naive versus optimal diversification: Tail risk and performance," European Journal of Operational Research, Elsevier, vol. 265(1), pages 372-388.
  30. Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012. "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62020, Verein für Socialpolitik / German Economic Association.
  31. Han, Yufeng & Hu, Ting & Yang, Jian, 2016. "Are there exploitable trends in commodity futures prices?," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 214-234.
  32. Hossein Rad & Rand Low & Joelle Miffre & Robert Faff, 2020. "Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?," Post-Print hal-02868473, HAL.
  33. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
  34. Humphrey, Jacquelyn E. & Benson, Karen L. & Low, Rand K.Y. & Lee, Wei-Lun, 2015. "Is diversification always optimal?," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 521-532.
  35. Kolev, Gueorgui I. & Karapandza, Rasa, 2017. "Out-of-sample equity premium predictability and sample split–invariant inference," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 188-201.
  36. Caio Vigo Pereira, 2020. "Portfolio Efficiency with High-Dimensional Data as Conditioning Information," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202015, University of Kansas, Department of Economics, revised Sep 2020.
  37. Donatien Tafin Djoko & Yves Till�, 2015. "Selection of balanced portfolios to track the main properties of a large market," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 359-370, February.
  38. Yan, Cheng & Zhang, Huazhu, 2017. "Mean-variance versus naïve diversification: The role of mispricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 61-81.
  39. Víctor M. Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, "undated". "Portfolios in the Ibex 35 index: Alternative methods to the traditional framework, a comparative with the naive diversification in a pre- and post- crisis context," Documentos de Trabajo del ICAE 2015-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jun 2015.
  40. Fethke, Tobias & Prokopczuk, Marcel, 2018. "Is Commodity Index Investing Profitable?," Hannover Economic Papers (HEP) dp-635, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  41. Zakamulin, Valeriy, 2017. "Superiority of optimized portfolios to naive diversification: Fact or fiction?," Finance Research Letters, Elsevier, vol. 22(C), pages 122-128.
  42. Fletcher, Jonathan & Basu, Devraj, 2016. "An examination of the benefits of dynamic trading strategies in U.K. closed-end funds," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 109-118.
  43. Víctor Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2017. "“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index"," IREA Working Papers 201702, University of Barcelona, Research Institute of Applied Economics, revised Feb 2017.
  44. Henryk Gzyl & Alfredo Rios, 2018. "Which portfolio is better? A discussion of several possible comparison criteria," Papers 1805.06345, arXiv.org, revised Oct 2018.
  45. Irina Murtazashvili & Nadia Vozlyublennaia, 2013. "Diversification Strategies: Do Limited Data Constrain Investors?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(2), pages 215-232, June.
  46. Kalotychou, Elena & Staikouras, Sotiris K. & Zhao, Gang, 2014. "The role of correlation dynamics in sector allocation," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 1-12.
  47. Yang, Junmin & Cao, Zhiguang & Han, Qiheng & Wang, Qiyu, 2019. "Tactical asset allocation on technical trading rules and data snooping," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  48. Turtle, H.J. & Wang, Kainan, 2016. "The benefits of improved covariance estimation," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 233-246.
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