Markowitz optimization, a key component of modern portfolio theory, is prone to estimation errors in mean vector and covariance matrix, leading to unrealistic portfolio weights, limited diversification, and weak out-of-sample performance. In response, a heuristic portfolio resampling approach...

OBJECTIVES This research aimed to verify the performance of the Volatility Timing (VT) and Reward to Risk Timing (RRT) models of portfolio selection when compared with the Naïve and Mean-Variance ones, applied to the Brazilian stock market.METHODOLOGYThe methodology consists in applying the VT,...