European Market Portfolio Diversifcation Strategies across the GFC
A 2014 paper on portfolio optimization: the abstract mentions a benchmark and leaves out an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“Our results suggest that none of the more sophisticated optimisation strategies appear to dominate naive diversification.”
StrategyPortfolio optimization
GeographyGlobalEurope
FrequencyDaily
Also stated: benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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