employed in this study to construct globally invested portfolios is based on cointegration analysis. The forecast period covers … 11 years. All constructed portfolios show a strong cointegration relationship with the benchmark in the back … ; cointegration ; portfolio optimization …

regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …