TAKAYA, YOSHIHIRO; KONNO, HIROSHI - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 01, pp. 1-13
The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the index. In this paper, we will consider a maximal predictability portfolio subject...