In this paper, we will propose a practical method for improving the performance of a maximal predictability portfolio (MPP) model proposed by Lo and MacKinlay and later extended by the authors. We will employ an alternative version of MPP using absolute deviation instead of variance as a measure...

The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the index. In this paper, we will consider a maximal predictability portfolio subject...

In this paper, an optimization model with a linear objective function subject to a system of fuzzy relation equations, using max-Hamacher product composition operator, is presented. Since its nonempty feasible solution set is in general a nonconvex set, conventional linear programming methods...