Frahm, Gabriel; Wickern, Tobias; Wiechers, Christof - 2010
In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which … multiple-testing literature. We test whether it is possible to beat a trivial strategy by at least one of the non …-trivial strategies, whether the trivial strategy is better than every non-trivial strategy, and which of the non-trivial strategies are …
