| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5085114 | International Review of Financial Analysis | 2011 | 11 Pages |
Abstract
⺠I examine whether optimal diversification strategies outperform the 1/N strategy. ⺠I find that some optimal diversification strategies can outperform the 1/N strategy. ⺠This superior performance holds even after adjusting for trading costs. ⺠The mean-variance timing strategies perform well due to their low turnover.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jonathan Fletcher,