Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010
accuracy, excess return, and portfolio correlation with the index and the market. Performance is evaluated considering … empirical distributions of excess return, final wealth and correlations of the portfolio with the index and the market. The … distributions are compiled from a set of portfolio trajectories computed by a resampling procedure. The nonconvex optimization …