Showing papers by "Robert D. Arnott published in 1997"
9 citations
TL;DR: In this paper, a tactical asset allocation process most typically adds value during the volatile periods of the market cycle, when there is substantial divergence in asset class returns, and a tactical options program will add value during trendless periods of market cycle.
Abstract: A tactical asset allocation process most typically adds value during the volatile periods of the market cycle, when there is substantial divergence in asset class returns. A tactical options program will add value during the trendless periods of the market cycle. Two such programs together are highly complementary, providing a mechanism to add value during the inevitable quiet - hence unprofitable - periods for TAA. The authors discuss simulated results.
1 citations