It is well known that strategies that allow investors to allocate their wealth using return and volatility forecasts, the use of which are termed market and volatility timing, are of significant value. In this paper, we show that distribution timing, defined here as the ability to use forecasts...

The purpose of the paper is to introduce, in a discrete-time no-arbitrage pricing context, a bridge between the historical and the risk-neutral state vector dynamics which is wider than the one implied by a classical exponential-affine stochastic discount factor (SDF) and to preserve, at the...