Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18
one for the application of portfolio investment strategies. The analysis is undertaken via the examination of multiple … investment strategies and a variety of hold-out periods and backtests. We commence by using four two-year estimation periods and … a subsequent one-year investment hold out period, to analyse a naive 1/N diversification strategy and to contrast its …