%0 Unpublished work %T A New Benchmark for Dynamic Mean-Variance Portfolio Allocations %+ Ecole des Hautes Etudes Commerciales (HEC Paris) %A Langlois, Hugues %Z FIN-2020-1368 %8 2020-07-10 %D 2020 %K Portfolio Choice %K Mean-Variance %K Asset Allocation %K Estimation Risk %Z Humanities and Social Sciences/Business administrationPreprints, Working Papers, ... %X We propose a new methodology to implement unconditionally optimal dynamic mean-variance portfolios. We model portfolio allocations using an auto-regressive process in which the shock to the portfolio allocation is the gradient of the investor's realized certainty equivalent with respect to the allocation. Our methodology can accommodate transaction costs, short-selling and leverage constraints, and a large number of assets. In out-of-sample tests using equity portfolios, long-short factors, government bonds, and commodities, we find that its risk-adjusted performance, net of transaction costs, is on average more than double that of other benchmark allocations. %G English %Z HEC Paris Research Paper Series %L hal-02896695 %U https://hec.hal.science/hal-02896695 %~ SHS %~ HEC