It’s all in the timing again: simple active portfolio strategies that outperform naïve diversification in the cryptocurrency market

2020 ◽  
pp. 1-5
Author(s):  
Ricardo de Souza Tavares ◽  
João Frois Caldeira ◽  
Gerson de Souza Raimundo Júnior
Keyword(s):  
Portfolio Strategies ◽  
Naïve Diversification

It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification

2012 ◽  
Vol 47 (2) ◽  
pp. 437-467 ◽  
Author(s):  
Chris Kirby ◽  
Barbara Ostdiek
Keyword(s):  
Transaction Costs ◽  
Asset Allocation ◽  
Estimation Risk ◽  
Portfolio Strategies ◽  
Out Of Sample ◽  
Volatility Timing ◽  
Naïve Diversification ◽  
Mean Variance Portfolio ◽  
Timing Strategies ◽  
Mean Variance

AbstractDeMiguel, Garlappi, and Uppal (2009) report that naïve diversification dominates mean-variance optimization in out-of-sample asset allocation tests. Our analysis suggests that this is largely due to their research design, which focuses on portfolios that are subject to high estimation risk and extreme turnover. We find that mean-variance optimization often outperforms naïve diversification, but turnover can erode its advantage in the presence of transaction costs. To address this issue, we develop 2 new methods of mean-variance portfolio selection (volatility timing and reward-to-risk timing) that deliver portfolios characterized by low turnover. These timing strategies outperform naïve diversification even in the presence of high transaction costs.

Portfolio Strategies Based on Analysts' Consensus

2005 ◽  
Author(s):  
Enrico Maria Cervellati ◽  
Antonio Carlo Francesco Della Bina ◽  
Pierpaolo Pattitoni
Keyword(s):  
Portfolio Strategies
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