Moreno, David; Marco, Paulina; Olmeda, Ignacio - In: Applied Economics 37 (2005) 11, pp. 1267-1281
This study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry...