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 … breaks, such as a market crisis. Our method adds to a considerable literature of portfolio optimization techniques in …