Christof Wiechers Optimization and Diversification of Risky Portfolios under Uncertainty A 262142 Verlag Dr. Kovac Hamburg 2011 Contents 1 Motivation ...

In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of approaches is considered in this work, including the...