Consider a clairvoyant who can accurately predict two market parameters, Sharpe ratio and volatility, for the forthcoming 10-year period. Clairvoyant selects his stock allocation (leverage multiplier) based on these two parameters, rebalances back to target leverage monthly and holds his selected stock allocation for the 10-year period. The cost of leverage is equal to riskless … Market timing lessons drawn from a clairvoyant Read More » The post Market timing lessons drawn from a clairvoy...
