The equally weighted portfolio still remains a challenging benchmark-Reference-Cited by-同舟云学术

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The equally weighted portfolio still remains a challenging benchmark

Published:2024-10 Issue: Volume:179 Page:100525
ISSN:2110-7017
Container-title:International Economics
language:en
Short-container-title:International Economics

Author:

Gelmini Matteo,Uberti Pierpaolo^ORCID

Publisher

Elsevier BV

Reference33 articles.

1. Optimal and naive diversification in currency markets;Ackermann;Manage. Sci.,2017

2. Multi-asset portfolio optimization and out-of-sample performance: An evaluation of Black–Litterman, mean-variance, and naïve diversification approaches;Bessler;Eur. J. Finance,2017

3. Quadratic programming with transaction costs;Best;Comput. Oper. Res.,2008

4. Regularized estimation of large covariance matrices;Bickel;Ann. Statist.,2008

5. On portfolio optimization: Forecasting covariances and choosing the risk model;Chan;Rev. Financ. Stud.,1999

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