This paper uses two recently developed tests to identify neglected nonlinearity in the
relationship between excess returns on four asset classes and several economic and …

Brocato and Steed (1998) showed that portfolio rebalancing based on NBER business cycle
turning points substantially improves in‐sample Markowitz efficiency. In a similar vein, we …

Estimation risk is known to have a huge impact on mean/variance optimized portfolios,
which is one of the primary reasons to make standard Markowitz optimization unfeasible in …

We develop a tactical asset allocation strategy that incorporates the effects of
macroeconomic variables. The joint distribution of financial asset returns and the …

Retirees and other investors may prefer to use dividends from equities and interest from
fixed income to fund their spending needs. This mental accounting phenomenon of …

This paper investigates the value of combining a dividend yield-riskfree rate estimator of
asset means with a discrete-time portfolio selection model. Specifically, it compares the …

We examine the time series performance of mean variance efficient portfolios in the
retirement setting. Using a rolling period optimization model we create portfolios with the …

In investment practice and in modern financial economics, the classical assumption of
identically and independently distributed (iid) returns over time, made by the basic version of …

This paper examines the impact of specification uncertainty on the performance of
international mean–variance conditional asset allocation. Specification uncertainty is …

To obtain the maximum benefits from diversification, financial theory suggests that investors
should invest internationally because of the larger potential for risk reduction. The question …