Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches

Manfred Gilli (manfred.gilli@unige.ch) and Ilir Roko

No 338, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: We propose a comparison of the performance of two alternative approaches for tactical asset allocation (TAA) strategies. Both methods rely on the predictability in series of returns. One approach derives optimal aggressiveness factors, which define the weighting in the portfolio, from predictions of higher returns from one asset relative to another. In the other approach the optimal portfolio weights are directly determined from some predictive variables (Ait-Sahalia and Brandt, (2001))

Keywords: TAA; Portfolio Optimization; Classification Trees (search for similar items in EconPapers)
JEL-codes: C11 C35 G11 (search for similar items in EconPapers)
Date: 2005-11-11
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf5:338

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