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  • Search: subject:"Conditional spanning tests"
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Conditional spanning tests 2 Mean variance 2 Trading strategies 2 Analysis of variance 1 Anlageverhalten 1 Außenwirtschaftspolitik 1 Behavioural finance 1 CAPM 1 Foreign economic policy 1 Portfolio selection 1 Portfolio-Management 1 Securities trading 1 Theorie 1 Theory 1 Varianzanalyse 1 Wertpapierhandel 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Galvani, Valentina 2 Gubellini, Stefano 2
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Finance Research Letters 1 Finance research letters 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Mean–variance dominant trading strategies
Galvani, Valentina; Gubellini, Stefano - In: Finance Research Letters 10 (2013) 3, pp. 142-150
The paper examines the relative importance of ten anomaly-based trading strategies. We employ Mean Variance spanning methodologies in a classical unconditional setting and a novel conditional setting. Fixed-weight optimal portfolios stemming from the unconditional methodology indicate that all...
Persistent link: https://www.econbiz.de/10010703275
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Cover Image
Mean-variance dominant trading strategies
Galvani, Valentina; Gubellini, Stefano - In: Finance research letters 10 (2013) 3, pp. 142-150
Persistent link: https://www.econbiz.de/10010222895
Saved in:
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