A study of the differences among representative investment strategies

Hong-Chih Huang and Yung-Tsung Lee

International Review of Economics & Finance, 2020, vol. 68, issue C, 131-149

Abstract: This study compares the differences and efficiencies of investment strategies among anticipative and adaptive models using three representative decision approaches: the static approach (SA), semidynamic strategy (or re-assess by static approach, Re-SA), and dynamic programming (DP). We show that each approach has individual merits and weaknesses. A DP strategy may allow for relatively aggressive decisions because of opportunities to adapt the decisions later. However, that strategy may result in a serious downside risk. The suboptimal adaptive strategy, Re-SA, acts as a good proxy for the DP strategy. Therefore, both SA and Re-SA are important tools for addressing asset allocation problems.

Keywords: Investment strategy; Anticipative model; Adaptive model; Static approach; Dynamic approach (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056020300538
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:68:y:2020:i:c:p:131-149

DOI: 10.1016/j.iref.2020.03.007

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().