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We analyze tactical asset allocation decisions around presidential elections using traditional methodology and then in the context of an efficient frontier analysis rather than the traditional stock-only or bond-only allocations in prior literature. To our knowledge, this is the first paper in the literature that addresses asset returns around presidential elections in a mean-variance efficient frontier framework. We find that the efficient frontier is sensitive to presidential time periods, with Democrats providing the best risk-reward opportunities over the long term, while Republicans provide better opportunities over the past quarter century.


College of Management at University of Massachusetts Boston, Financial Services Forum, Working Paper 1004.

Prepared for presentation at the AFFI French Finance Association Conference, Paris, France, June 2005.

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