Posted: September 16th, 2017
Use your rules to choose a set of fixed portfolio weights, using in-sample data.
a) Use your rules to choose a set of fixed portfolio weights, using in-sample data.
(b) Use your rules and models/methods to dynamically assign optimal port- folio weights during the forecast sample period (i.e. do this for each combination of rule and method/model). Justify your frequency of optimally choosing portfolio weights; use at least two different frequencies of changing weights (e.g. every period, every 5th period). Under each choice you must ‘update’ the portfolio weights at least 5 times in the forecast sample. Also justify how often model parameters are re-estimated (a separate decision).
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