Kumiega, Andrew; Vliet, Ben Van; Xanthopoulos, Apostolos - In: Applied Financial Economics 24 (2014) 15, pp. 1051-1061
In this article, we study unconstrained strategies through a respecification of classic mean-variance utility and, as a reference implementation, a long-only strategy based on Canadian and US bond markets. First, we capture the underlying economic forces that drive benchmark indices in the two...