Investment board meetings typically include a macroeconomic review, and a discussion of the implications for asset allocation. Investors who are able to time the market can no-doubt obtain abnormal returns, but what is the cost for investors who attempt to time the market but have no genuine timing ability? We prove that for virtually any uninformed timing strategy there is a constant-allocation strategy that dominates it by First-degree Stochastic Dominance. Thus, constant allocation is superior not only for risk-averters, but for all investors with non-decreasing preferences, including Prospect Theory investors and investors with various aspiration levels. The cost of uninformed market timing is shown to be almost double than previous estimates, at about 2 % per year.

中文翻译：

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不知情的市场时机的代价

投资委员会会议通常包括宏观经济审查和对资产配置影响的讨论。能够把握市场时机的投资者无疑可以获得异常回报，但对于试图把握市场时机但没有真正把握时机能力的投资者来说，成本是多少呢？我们证明，对于几乎任何不知情的时序策略，都有一个常数分配策略以 First-degree Stochastic Dominance 为主。因此，恒定配置不仅对风险规避者有利，而且对所有偏好不减的投资者都是有利的，包括 Prospect Theory 投资者和具有不同抱负水平的投资者。不知情的市场时机成本几乎是以前估计的两倍，约为每年 2%。