The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light …

Previous research has shown that equally weighted portfolios outperform optimized
portfolios, which suggests that optimization adds no value in the absence of informed inputs …

It is difficult to automatically produce trading signals based on previous transaction data and
the financial status of assets because of the significant noise and unpredictability of capital …

We challenge the academic consensus that estimation error makes mean–variance portfolio
strategies inferior to passive equal-weighted approaches. We demonstrate analytically, via …

We compare the risk-adjusted performance of stock–bond portfolios between rebalancing
and buy-and-hold across different asset allocations by reporting statistical significance …

A feasible asset allocation framework for the post 2008 financial world Asset allocation has
long been a cornerstone of prudent investment management; however, traditional allocation …

Implementing sector rotation strategies with a set of low-frequency economic measures, the
authors construct long-only sector exchange traded fund (ETF) portfolios that respond …

In this paper, we explore the effect of sampling error in the asset covariance matrix when
constructing portfolios using mean–variance optimization. We show that as the covariance …

Since the onset of the Great Recession in 2008, the practice of tactical asset allocation has
received increased interest from practitioners. Though commonly used in conjunction with …

Mean-variance optimization is about to begin its 60th year and by all accounts it has aged
extremely well. Originally proposed by Markowitz (1952), it was not until the mid-1970s that …