Using a Value at Risk Approach to Enhance Tactical Asset Allocation
Okunev (2006) studies market timing and tactical asset allocation across several asset classes. The abstract mentions excess returns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The VAR TAA strategy significantly outperforms the buy hold strategy.”
AssetMulti-asset
StrategyMarket timing
ClaimExcess return
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
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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