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• W1909700083 startingPage "742" @default.
• W1909700083 abstract "Abstract Out‐of‐sample experiments cast doubt on the ability of portfolio optimising strategies to outperform equally weighted portfolios, when investors have a 1‐month time horizon. This paper examines whether this finding holds for longer investment horizons over which the optimising strategy exploits linear predictability in returns. Our experiments indicate that investors with longer horizons on average would have benefited, ex post, from an optimising strategy over the period 1995–2009. We analyse performance sensitivity to investor risk aversion, to the number of predictors included in the forecasting model and to the deduction of transaction costs from portfolio performance." @default.
• W1909700083 created "2016-06-24" @default.
• W1909700083 creator A5045520327 @default.
• W1909700083 creator A5059698112 @default.
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• W1909700083 date "2015-09-01" @default.
• W1909700083 modified "2023-10-13" @default.
• W1909700083 title "Equally Weighted vs. Long-Run Optimal Portfolios" @default.
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• W1909700083 doi "https://doi.org/10.1111/eufm.12042" @default.
• W1909700083 hasPublicationYear "2015" @default.
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