It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification

By C. Kirby, Barbara Ostdiek. Journal of Financial and Quantitative Analysis, 2012

259 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Improving Mean Variance Optimization through Sparse Hedging Restrictions (2015, methodology): “Our sparse mean variance optimizer Ψ̂ρ can be blended with the methods proposed by Tu and Zhou (2010), (2011) and Kirby and Ostdiek (2012a), (2012b).”
Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches (2017, unknown): “Nevertheless, Kirby and Ostdiek (2012) also find that the MV approach hardly outperforms the 1/N strategy at statistically significant levels when transaction costs are included.”
Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, unknown): “…(cvol) strategy: rcvolt,t`1 “ σtgt σt ¨ rt,t`1 (4) The concept of constant-volatility (also known as volatility-targeting or volatility-timing) has been first highlighted by Fleming et al. (2001, 2003) and more recently by Kirby and Ostdiek (2012), Ilmanen and Kizer (2012) and Hallerbach (2012).”