To revise or not to revise? This is the question

Haim Levy ()
Additional contact information
Haim Levy: Hebrew University

Annals of Operations Research, 2025, vol. 346, issue 1, No 13, 157-179

Abstract: Abstract Buy and hold and periodical revisions are two competing investment strategies. Revising to the optimal one-period investment weights seemingly dominates the buy-and-hold strategy with random and uncontrolled investment weights determined by asset price changes. This intuition is misleading as both investment strategies are theoretically included in the risk aversion efficient set. Considering only economically relevant preferences, with stocks-bonds portfolios, both strategies are empirically included in the risk aversion efficient set as long as the investment horizon is shorter than 20 years. However, for an investment horizon longer than twenty years, the buy and hold strategy empirically dominates the revision strategy by Almost First-degree Stochastic Dominance ( $$AFSD$$ AFSD ) rule, namely by all economically relevant utility functions. When the horizon is indefinitely long, holding only stocks dominates the stock–bond portfolios of both the B&H(S) and the RV(S). However, this theoretical result may be practically irrelevant for most investors with a horizon shorter than 20 years.

Keywords: Revisions strategy(RV(S); Buy- and- Hold Strategy B&H(S); Almost First-degree Stochastic Dominance (AFSD) (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10479-024-06214-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06214-y

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-024-06214-y

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().