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• W2183634071 abstract "The best asset allocation model is searched for. In this paper, we argue that it is unlikely to find an individual model which continuously outperforms its competitors. Rather one should consider a combined model out of a given set of asset allocation models. In a large empirical study using various standard asset allocation models, we find that (i) the best model depends strongly on the chosen data set, (ii) it is difficult to ex-ante select the best model, and (iii) the combination of models performs exceptionally well. Frequently, the combination even outperforms the ex-post best asset allocation model. The promising results are obtained by a simple combination method based on a bootstrap procedure. More advanced combination approaches are likely to achieve even better results." @default.
• W2183634071 created "2016-06-24" @default.
• W2183634071 creator A5071412543 @default.
• W2183634071 date "2014-01-01" @default.
• W2183634071 modified "2023-09-26" @default.
• W2183634071 title "Combining Portfolio Models" @default.
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