Multiple tests for the performance of different investment strategies

@inproceedings{Wiechers2010MultipleTF,
  title={Multiple tests for the performance of different investment strategies},
  author={Gabriel Frahm Tobias Wickern Christof Wiechers},
  year={2010}
}
  • Gabriel Frahm Tobias Wickern Christof Wiechers
  • Published 2010
In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of approaches is considered in this work, including the traditional sample-based approach, several minimum-variance techniques, a shrinkage, and a minimax approach. In contrast to similar studies in the literature, we also consider shortselling constraints and a… CONTINUE READING

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