@techreport{NBERw10820,
 title = "Dynamic Trading Strategies and Portfolio Choice",
 author = "Ravi Bansal and Magnus Dahlquist and Campbell R. Harvey",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "10820",
 year = "2004",
 month = "October",
 URL = "http://www.nber.org/papers/w10820",
 abstract = {Traditional mean-variance efficient portfolios do not capture the potential wealth creation opportunities provided by predictability of asset returns. We propose a simple method for constructing optimally managed portfolios that exploits the possibility that asset returns are predictable. We implement these portfolios in both single and multi-period horizon settings. We compare alternative portfolio strategies which include both buy-and-hold and fixed weight portfolios. We find that managed portfolios can significantly improve the mean-variance trade-off, in particular, for investors with investment horizons of three to five years. Also, in contrast to popular advice, we show that the buy-and-hold strategy should be avoided.},
}