Robustness of asset allocation strategies in long-term investing: a comparative analysis of selected portfolio approaches
Načítavam...
Na stiahnutie
Dátum
2026
Názov časopisu
ISSN časopisu
Názov zväzku
Vydavateľ
Belianum. Vydavateľstvo Univerzity Mateja Bela v Banskej Bystrici
ISBN
ISSN
1336-8818
2989-3186
2989-3186
Abstrakt
This paper examines the robustness of selected asset allocation strategies in the context of long-term investing. The study compares the performance and risk characteristics of four portfolio construction approaches – the 1/N portfolio, the 60/40 portfolio, the annually rebalanced Markowitz portfolio (MW+R) and a portfolio with weights directly proportional to asset volatility (SD) – over 10- and 20-year investment horizons. The empirical analysis is based on weekly data for nine exchange-traded funds representing different asset classes over the period 2009–2025. Historical backtesting is complemented by Monte Carlo simulations employing a bootstrap approach to evaluate the stability and resilience of the strategies under alternative market scenarios. The results show that no single strategy dominated in all indicators: the SD portfolio achieved the highest returns, whereas the constrained Markowitz portfolio provided the most favourable risk-adjusted performance and ranked first in the composite robustness assessment in all simulation scenarios and at both horizons, while the 1/N strategy remained a competitive simple alternative. The study thus contributes to the literature on long-term portfolio management by comparing simple allocation rules with optimization-based approaches and provides practical implications for strategic asset allocation in dynamically changing financial markets.
Popis
In: Acta aerarii publici : vedecký časopis Ekonomickej fakulty Univerzity Mateja Bela v Banskej Bystrici. Banská Bystrica : Vydavateľstvo Univerzity Mateja Bela - Belianum, 2026. ISSN 1336-8818. Roč. 23, č. 1 (2026), s. 101-118.
Kľúčové slová
portfólio, portfolio, optimalizácia, optimization
Výstup z projektu
Citácia
Práva a licenčné podmienky
CC BY-ND Creative Commons Attribution-NoDerivatives 4.0 International
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess