Berens, Tobias; Wied, Dominik; Ziggel, Daniel - In: Acta Universitatis Danubius. OEconomica (2014) 2(2), pp. 243-264
We present a completely automated optimization strategy which combines the classical Markowitz mean-variance portfolio theory with a recently proposed test for structural breaks in covariance matrices. With respect to equity portfolios, global minimum-variance optimizations, which base solely on...