Combining the minimum-variance and equally-weighted portfolios: Can portfolio performance be improved?
Sign Up to like & getrecommendations! Published in 2019 at "Economic Modelling"
DOI: 10.1016/j.econmod.2018.11.012
Abstract: Abstract It is documented in the literature that due to estimation errors, mean-variance efficient portfolios deliver no higher out-of-sample Sharpe ratios than does the naive equally-weighted portfolio (EWP). This paper demonstrates how the out-of-sample performance… read more here.
Keywords: variance; performance; portfolio; equally weighted ... See more keywords