Timing Prediction Error Volatility and Dynamic Asset Allocation

作     者：Yun Shi Yun Shi

作者机构：Academy of Statistics and Interdisciplinary SciencesFaculty of Economics and ManagementEast China Normal UniversityShanghai 200062China 

出 版 物：《Journal of Systems Science and Systems Engineering》 (系统科学与系统工程学报（英文版）)

年 卷 期：2022年第31卷第1期

页      面：111-130页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 

基　　金：This work has been supported in part by the National Natural Science Foundation of China(NSFC),under grant No.71971083 by the Key Program of National Natural Science Foundation of China(NSFC),under grant No.71931004 by the Open Research Fund of Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE 

主　　题：Dynamic asset allocation prediction error volatility transaction cost return predictability volatility timing 

摘      要：We solve a portfolio selection,problem in which,return predictability,risk predictability and transaction cost are *** the problem,both expected return,prediction error volatility,and transaction cost are *** optimal strategy suggests trading partially toward a dynamic aim portfolio,which is a weighted average of expected future tangency portfolio and is highly influenced by the common fluctuation of prediction error volatility(CPE).When CPE is high,the investor would invest less and trade less frequently to avoid risk and transaction ***,the investor trades more closely to the aim portfolio with a more persistent CPE *** also conduct an empirical analysis based on the commodities futures in Chinese *** results reveal that by timing prediction error volatility,our strategy outperforms alternative strategies.