Averaging Across Asset Allocation Models

Schanbacher, Peter

Averaging Across Asset Allocation Models

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Datum

2015

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

Jahrbücher für Nationalökonomie und Statistik. 2015, 235(1), pp. 61-81. ISSN 0021-4027. eISSN 2366-049X. Available under: doi: 10.1515/jbnst-2015-0106

Zusammenfassung

Combination of asset allocation models is rewarding if (i) the applied risk function is concave and (ii) there is no dominating model. We show that most common risk functions are either concave or at least concave in common applications. In a comprehensive empirical study using standard asset allocation models we find that there is no constantly dominating model. The ranking of the models depends on the data set, the risk function and even changes over time. We find that a simple average of all asset allocation models can outperform each individual model. Our contribution is twofold. We present a theory why the combined model is expected to dominate most individual models. In a comprehensive empirical study we show that model combinations perform exceptionally well in asset allocation.

Fachgebiet (DDC)

330 Wirtschaft

Zitieren

ISO 690

SCHANBACHER, Peter, 2015. Averaging Across Asset Allocation Models. In: Jahrbücher für Nationalökonomie und Statistik. 2015, 235(1), pp. 61-81. ISSN 0021-4027. eISSN 2366-049X. Available under: doi: 10.1515/jbnst-2015-0106

BibTex

@article{Schanbacher2015Avera-39736,
  year={2015},
  doi={10.1515/jbnst-2015-0106},
  title={Averaging Across Asset Allocation Models},
  number={1},
  volume={235},
  issn={0021-4027},
  journal={Jahrbücher für Nationalökonomie und Statistik},
  pages={61--81},
  author={Schanbacher, Peter}
}

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