TY  - JOUR
AU  - Bansal,Ravi
AU  - Dahlquist,Magnus
AU  - Harvey,Campbell R.
TI  - Dynamic Trading Strategies and Portfolio Choice
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10820
PY  - 2004
Y2  - October 2004
UR  - http://www.nber.org/papers/w10820
L1  - http://www.nber.org/papers/w10820.pdf
N1  - Author contact info:
Ravi Bansal
Fuqua School of Business
Duke University
1 Towerview Drive
Durham, NC 27708
Tel: 919/660-7758
Fax: 919/660-8038
E-Mail: ravi.bansal@duke.edu

Magnus Dahlquist
Stockholm-SIFR
E-Mail: magnus.dahlquist@sifr.org

Campbell R. Harvey
Duke University
Fuqua School of Business
Durham, NC 27708-0120
Tel: 919/660-7768
Fax: 919/660-8030
E-Mail: cam.harvey@duke.edu
AB  - 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.
ER  -