James, Nick; Menzies, Max; Chan, Jennifer - In: Econometrics : open access journal 11 (2023) 1, pp. 1-33
This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks … between time series' structural breaks. Then, we build on the classical portfolio optimization theory of Markowitz and use … proposed optimization method performs well relative to nine other commonly used options, producing the second-highest returns …