RT Journal Article
SR Electronic
T1 Dynamic Multi-Asset Portfolios Through ETFs
JF Trading
FD Institutional Investor Journals
SP 44
OP 53
VO 2008
IS 1
A1 Ryan Jazayeri
A1 Sijian Lin
A1 Achilles Venetoulias
YR 2008
UL http://guides.pm-research.com/content/2008/1/44.abstract
AB This article presents empirical evidence that attractive returns can be generated by frequent rebalancing of multi-asset ETF portfolios. The returns are attractive in both absolute and risk-adjusted terms. The returns are obtained from a systematic process that allows for time dependence in the returns of the assets, incorporates the effect of future rebalancings in every step, and keeps the risk of the portfolio constant. This process is applicable to both long-only and long-short portfolios. The results are robust with respect to a number of key parameters.