estimation errors: An efficient averaging rule for portfolio optimization" proposes a combination of established minimum … and diversifies estimation errors of the strategies included in our rule. Extensive simulations show that the contributions … of estimation errors to the out-of-sample variances are uncorrelated between the considered strategies. We therefore …

Investor sentiment is an important aspect of behavioural finance, which provides explanation of anomalies to the asset …

tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against … evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper … reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …