Properties of the Margrabe Best-of-two strategy to tactical asset allocation
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DOI: 10.1016/j.irfa.2018.12.014
Abstract: Abstract The Margrabe Best-of-two (MBo2) strategy is a rule-based dynamic investment solution for the two-asset allocation problem. Its typical implementation involves yearly rebalancing the portfolio weights to 50–50 between a low-risk and high-risk asset. It… read more here.
Keywords: allocation; best two; strategy; asset ... See more keywords