{"id":1115,"date":"2013-02-27T12:07:12","date_gmt":"2013-02-27T11:07:12","guid":{"rendered":"http:\/\/mathfinance.sns.it\/?p=1115"},"modified":"2018-02-27T12:08:44","modified_gmt":"2018-02-27T11:08:44","slug":"s-marmi-c-pacati-r-reno-w-a-risso-a-quantitative-approach-to-fabers-tactical-asset-allocation-international-journal-of-computational-economics-and-econometrics-3-1-2-91-101","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/s-marmi-c-pacati-r-reno-w-a-risso-a-quantitative-approach-to-fabers-tactical-asset-allocation-international-journal-of-computational-economics-and-econometrics-3-1-2-91-101\/","title":{"rendered":"S. Marmi, C. Pacati, R. Ren\u00f2, W.A. Risso, <em>A quantitative approach to Faber&#8217;s tactical asset allocation<\/em>,  International Journal of Computational Economics and Econometrics 3 (1-2),  91-101"},"content":{"rendered":"<p>Routinely, practitioners and academics alike propose the use of trading strategies with an<br \/>\nalleged improvement on the risk\u2013return relation, typically entailing a considerably higher<br \/>\nreturn for the given level of risk. A very popular example is&#8221; A quantitative approach to<br \/>\ntactical asset allocation&#8221; by the fund manager M. Faber, a real hit in the SSRN online library.<br \/>\nIs this paper a counterexample to market efficiency? We reject this conclusion, showing that<br \/>\na lot of caution should be used in this field, and we indicate a series of bootstrapping<br \/>\nexperiments which can be easily implemented to evaluate the performance of trading<br \/>\nstrategies.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Routinely, practitioners and academics alike propose the use of trading strategies with an alleged improvement on the risk\u2013return relation, typically entailing a considerably higher return for the given level of risk. A very popular example is&#8221; A quantitative approach to tactical asset allocation&#8221; by the fund manager M. Faber, a real hit in the SSRN [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[5],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1115"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=1115"}],"version-history":[{"count":1,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1115\/revisions"}],"predecessor-version":[{"id":1116,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1115\/revisions\/1116"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=1115"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=1115"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=1115"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}