Robustness of asset allocation strategies in long-term investing: a comparative analysis of selected portfolio approaches
| dc.contributor.author | Nejedlíková, Nikola | |
| dc.contributor.author | Mešťan, Michal | |
| dc.date.accessioned | 2026-09-08T07:11:33Z | |
| dc.date.available | 2026-09-08T07:11:33Z | |
| dc.date.issued | 2026 | |
| dc.description | 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. | |
| dc.description.abstract | 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. | |
| dc.identifier.doi | https://doi.org/10.24040/aap.2026.23.1.101-118 | |
| dc.identifier.issn | 1336-8818 | |
| dc.identifier.issn | 2989-3186 | |
| dc.identifier.uri | https://repo.umb.sk/handle/123456789/1616 | |
| dc.language.iso | en | |
| dc.publisher | Belianum. Vydavateľstvo Univerzity Mateja Bela v Banskej Bystrici | |
| dc.rights | CC BY-ND Creative Commons Attribution-NoDerivatives 4.0 International | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nd/4.0/ | |
| dc.subject | portfólio | |
| dc.subject | portfolio | |
| dc.subject | optimalizácia | |
| dc.subject | optimization | |
| dc.title | Robustness of asset allocation strategies in long-term investing: a comparative analysis of selected portfolio approaches | |
| dc.title.alternative | Robustnosť stratégií alokácie aktív pri dlhodobom investovaní: komparácia vybraných portfóliových prístupov | |
| dc.type | Article | |
| dc.type | info:eu-repo/semantics/article |
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