Robustness of Asset Allocation Strategies in Long-Term Investing: A Comparative Analysis of Selected Portfolio Approaches
ROBUSTNOSŤ STRATÉGIÍ ALOKÁCIE AKTÍV PRI DLHODOBOM INVESTOVANÍ: KOMPARÁCIA VYBRANÝCH PORTFÓLIOVÝCH PRÍSTUPOV
Published: 03.08.2026
https://doi.org/10.24040/aap.2026.23.1.101-118
Abstract: This paper examines the robustness of selected asset allocation strategies in the context of long-term investing. The study compares the performance and risk characteristics of four portfolio construction approaches – the 1/N portfolio, the 60/40 portfolio, the annually rebalanced Markowitz portfolio (MW+R) and a portfolio with weights directly proportional to asset volatility (SD) – over 10- and 20-year investment horizons. The empirical analysis is based on weekly data for nine exchange-traded funds representing different asset classes over the period 2009–2025. Historical backtesting is complemented by Monte Carlo simulations employing a bootstrap approach to evaluate the stability and resilience of the strategies under alternative market scenarios. The results show that no single strategy dominated in all indicators: the SD portfolio achieved the highest returns, whereas the constrained Markowitz portfolio provided the most favourable risk-adjusted performance and ranked first in the composite robustness assessment in all simulation scenarios and at both horizons, while the 1/N strategy remained a competitive simple alternative. The study thus contributes to the literature on long-term portfolio management by comparing simple allocation rules with optimization-based approaches and provides practical implications for strategic asset allocation in dynamically changing financial markets.
Keywords: asset allocation, portfolio optimization, long-term investing, portfolio robustness, risk-adjusted performance, Monte Carlo simulation
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NEJEDLÍKOVÁ, N. and MEŠŤAN, M. Robustness of Asset Allocation Strategies in Long-Term Investing: A Comparative Analysis of Selected Portfolio Approaches. Acta aerarii publici. Online. vol. 23 (2026), no. 1, pp. 101 – 118. Available from: https://doi.org/10.24040/aap.2026.23.1.101-118. [accessed YYYY-MM-DD].