An efficient frontier model is derived within a problem of passive management. An aggregate portfolio is rebalanced annually to restore the percent weights of its strategic asset allocation; its annual total returns are assumed to be independently and lognormally distributed. Expanding on...

This statistical study refines and updates Sharpe's empirical paper (1975, Financial Analysts Journal) on switching between US common stocks and cash equivalents. According to the original conclusion, profitable market timing relies on a representative portfolio manager who can correctly...