Frahm, Gabriel; Wickern, Tobias; Wiechers, Christof - Seminar für Wirtschafts- und Sozialstatistik, … - 2010
In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of approaches is considered in this work, including the...
