Long-Run Risk of Dynamic Asset Allocation Strategies
Keywords:
Portfolio Management, Risk measurementAbstract
This study uses empirical resampling to examine the risk of three of Perold and Sharpe’s (1988) dynamic asset allocation strategies--Buy and hold, Constant mix, and Constant Proportion Portfolio Insurance (CPPI). Generally we find greater risk from strategies with a greater proportion of common stock in the portfolio. The major exception is that for CPPI the shortfall probability relative to Treasury bills decreased as the proportion of common stock in the portfolio increased. Finally, despite the positive floor buy and hold places on portfolio value, buy and hold is less risky than constant mix only in a few cases.
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Published
2014-12-31
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ABR Journal Articles
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