It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification
Portfolio optimization across several asset classes, studied by Kirby and Ostdiek in 2012. The abstract mentions excess returns, an out-of-sample test and transaction costs but not a benchmark, multiple testing or the size of the universe.
“We find that mean-variance optimization often outperforms naïve diversification, but turnover can erode its advantage in the presence of transaction costs.”
AssetMulti-asset
StrategyPortfolio optimizationmarket timing
ClaimExcess return
Also stated: out-of-sample test, costs
Missing from abstract: benchmark, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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