Multi-period portfolio optimisation with alpha decay

Volume: 2, Issue: 4, Pages: 283
Published: Aug 15, 2018
Abstract
The traditional Markowitz MVO approach is based on a single-period model. Single period models do not utilise any data or decisions beyond the rebalancing time horizon with the result that their policies are myopic in nature. For long-term investors, multi-period optimisation offers the opportunity to make wait-and-see policy decisions by including approximate forecasts and long-term policy decisions beyond the rebalancing time horizon. We...
Paper Details
Title
Multi-period portfolio optimisation with alpha decay
Published Date
Aug 15, 2018
Volume
2
Issue
4
Pages
283
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