Dynamic portfolio optimization across asset classes

This study provides evidence that a dynamic portfolio strategy, grounded on an asymmetric GARCH model and applied to investments in equities, real estate, and commodities, outperforms static strategies in terms of wealth, Sharpe ratios, and expected utility even when short selling restrictions are imposed on real estate and equities. For small investors, the benefits are subsumed by transactions costs; for large investors, the dynamic strategy remains marginally feasible