Mixed Tactical Asset Allocation
“The article derives a separation theorem for tactical allocation, wherein the portfolio is a linear combination of an alpha portfolio providing excess returns and a beta portfolio providing overall risk hedge.”
AssetMulti-asset
StrategyMarket timingportfolio optimization
TechniqueMathematical derivation
ClaimAlphaexcess return
Also stated: Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMarket timing and tactical asset allocation by year
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