In this paper, we will propose a practical method for improving the performance of a maximal predictability portfolio …

The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads … will consider a maximal predictability portfolio subject to transaction cost. To reduce transaction cost, we employ …

predictability portfolio (MPP) optimization problem, which is a hard nonconvex fractional programming optimization. Also, we will …The purpose of this paper is to show that an algorithm recently proposed by authors can in fact solve a maximal …