2017Unpublished venueRequires access

Dynamic asset allocation — Chasing a moving target

Keh‐Chin Chang, Zhi Tian, Jiayang Yu

Open publisher page 3 citations

Abstract

Dynamic construction of optimal portfolio is investigated. Multiple assets are allocated and rebalanced periodically based on different principles. We develop several dynamic allocation strategies to maximize long-term portfolio value based on Kelly's approach related to mutual information. We show that the resulting asset allocation strategy outperforms the traditional approaches and produces an excellent trade-off between risk and return. Out of sample simulation results are also provided to demonstrate the performance.

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What this paper is about

Dynamic construction of optimal portfolio is investigated. Multiple assets are allocated and rebalanced periodically based on different principles. We develop several dynamic allocation strategies to maximize long-term portfolio value based on Kelly's approach related to mutual information. We show that the resulting asset allocation strategy outperforms the traditional approaches and produces an excellent trade-off between risk and return. Out of sample simulation results are also provided to demonstrate the performance.

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OpenAlex reports 3 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

Dynamic construction of optimal portfolio is investigated. Multiple assets are allocated and rebalanced periodically based on different principles. We develop several dynamic allocation strategies to maximize long-term portfolio value based on Kelly's approach related to mutual information. We show that the resulting asset allocation strategy outperforms the traditional approaches and produces an excellent trade-off between risk and return. Out of sample simulation results are also provided to demonstrate the performance.

Key concepts: Portfolio, Portfolio allocation, Asset allocation, Computer science, Asset (computer security), Optimal allocation, Project portfolio management, Sample (material)

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