2022
DOI: 10.1016/j.irfa.2018.12.014
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Properties of the Margrabe Best-of-two strategy to tactical asset allocation

Abstract: The Margrabe Best-of-two (MBo2) strategy is a rule-based dynamic investment solution for the twoasset allocation problem. Its typical implementation involves yearly rebalancing the portfolio weights to 50-50 between a low-risk and high-risk asset. It uses intra-year weight adjustments to chase the momentum of the best performing asset by replicating the Margrabe formula for the value of a European option to exchange an asset for another asset at year-end. In practice, this means that the Margrabe portfolio all… Show more

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“…Diversos estudos têm o propósito de otimizar as carteiras táticas de ativos, pesquisas como a de Ardia et al (2005) Capítulo 3…”
Section: Trabalhos Relacionadosunclassified
“…Diversos estudos têm o propósito de otimizar as carteiras táticas de ativos, pesquisas como a de Ardia et al (2005) Capítulo 3…”
Section: Trabalhos Relacionadosunclassified