Bansal, Ravi (contributor); Dahlquist, Magnus (contributor); … - 2004
Dynamic Trading Strategies and Portfolio Choice
Ravi Bansal
Duke University, Durham, NC 27708 USA
Magnus Dahlquist … Economic Policy Research, London, UK
Campbell R. Harvey∗
Duke University, Durham, NC 27708 USA
National Bureau of Economic … Research, Cambridge, MA 02138 USA
October 18, 2004
Abstract
Traditional mean-variance efficient portfolios do not capture the …