Estimation constitutes a major challenge in the implementation of mean-variance portfolios. To overcome this, we … propose a partial index-tracking strategy that aims to mitigate estimation error ex-ante. Theoretically, we minimize the mean …

captures information other than monetary policy risk …

-of-sample variance. Our rule overcomes the problem of selecting the “best” strategy ex-ante and diversifies remaining estimation errors … of the single strategies included in the averaging. Extensive simulations show that the contributions of estimation …

, in bearish markets the classic insurance concept shows better returns. A stop loss strategy suffers from gap risk, whence … a CPPI strategy combines the strength of both gap risk minimization and equity ratio maximization. The effect of fees on …

momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of … and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

quality is searched using an optimization algorithm based on data of an estimation period. The assumption is that this … is how stable these measures are. Do they produce tracking portfolios with the same tracking quality in the estimation … period and the investment period? Are the tracking portfolios with a high tracking quality in the estimation period compared …