Combining Strategic and Tactical Asset Allocation
Posted: 17 Oct 2010 Last revised: 22 Dec 2015
Date Written: February 1, 2010
Abstract
Mean variance analysis has long been utilized as a tool for portfolio construction. In this paper we see how it can also be used for exploring the diverse asset classes represented by exchange traded funds and notes. Mid-cap stocks and mortgage-backed bonds may offer under exploited investment opportunities.We will also see how a timing overlay can add considerable value in constructing efficient portfolios of exchange traded funds and notes.
Keywords: mean variance analysis, optimal portfolio, strategic asset allocation, market timing
JEL Classification: C61, G11
Suggested Citation: Suggested Citation
Antonacci, Gary, Combining Strategic and Tactical Asset Allocation (February 1, 2010). Available at SSRN: https://ssrn.com/abstract=1693266 or http://dx.doi.org/10.2139/ssrn.1693266
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