Asset allocation and investment horizon |
| |
| Institution: | 1. ESC Rennes School of Business, Department of Finance and Accounting, France;2. School of Management, University of Bath, UK;3. Economist, UK;1. Faculty of Mathematics and Statistics, Hubei Key Laboratory of Applied Mathematics, Hubei University, Wuhan 430062, China;2. School of Mathematical Science, Qufu Normal University, Qufu, Shandong 273165, China;1. Mathematics Department, University of Pittsburgh, PA 15260, USA;2. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON, N2L 3G1, Canada |
| |
| Abstract: | Quarterly recommendations by national brokerage firms since the third quarter of 1989 provide an opportunity to compare different approaches to asset allocation. To follow a brokerage firm's recommendation every quarter is to practice tactical asset allocation. Both the length of the investor's decision horizon and brokerage commissions that are incurred when portfolio changes are made impact investment performance, and both contribute to the risk experienced by investors. Buy-and-hold and strategic asset allocation would have served investors better than tactical asset allocation during the first half of the 1990s. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
