Lozza, Sergio Ortobelli; Angelelli, Enrico; Toninelli, … - In: Emerging Markets Finance and Trade 47 (2011) 11, pp. 5-24
This paper proposes an ex post comparison of portfolio selection strategies. These strategies are applied to a set of assets, preselected among about 10,000 stocks on the global market. The preselection criteria consider the joint Markovian behavior of the returns and their association with the...