Zoričić, Davor; Dolinar, Denis; Lovretin Golubić, Zrinka - In: Journal of risk and financial management : JRFM 13 (2020) 12/302, pp. 1-12
's performance by minimizing its volatility. Previous attempts focusing purely on portfolio risk reduction by estimating minimum … variance portfolios failed both from an in-sample and out-of-sample perspective. Results in this study are based on 22 in …