• 1 Introduction
  • 2 Methodology and Data
  • 2.1 Determining Optimal Portfolio Weight Constraints
  • 2.2 Competing Portfolio Strategiesbr
  • 2.3 Portfolio Optimization and Performance Measurement
  • 2.4 Data
  • 3 Empirical Results
  • 3.1 Discussion of the Variance
  • 3.2 Discussion of the Sharpe Ratio
  • 3.3 Discussion of the Turnover
  • 4 Conclusion
  • References
  • Appendix