Mean-variance optimisation has been roundly criticised by financial economists and practitioners alike, leading many to advocate a simple 1/N weighting heuristic. We investigate the performance of the Markowitz technique conditional on investor forecasting ability. Using a novel analytical...

This paper uses a recently suggested test for unit roots in panels of time series data (Maddala and Wu, Oxford Bulletin of Economics and Statistics, 61, 631-52, 1999) to consider the Purchasing Power Parity hypothesis. The major innovation of this test is that it allows both the testing of unit...