PT  - JOURNAL ARTICLE
AU  - Ryan Jazayeri
AU  - Sijian Lin
AU  - Achilles Venetoulias
TI  - Dynamic Multi-Asset Portfolios Through ETFs
DP  - 2008 Sep 21
TA  - Trading
PG  - 44--53
VI  - 2008
IP  - 1
4099  - http://guides.pm-research.com/content/2008/1/44.short
4100  - http://guides.pm-research.com/content/2008/1/44.full
AB  - This article presents empirical evidence that attractive returns can be generated by frequent rebalancing of multi-asset ETF portfolios. The returns are attractive in both absolute and risk-adjusted terms. The returns are obtained from a systematic process that allows for time dependence in the returns of the assets, incorporates the effect of future rebalancings in every step, and keeps the risk of the portfolio constant. This process is applicable to both long-only and long-short portfolios. The results are robust with respect to a number of key parameters.