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...

In their recent article, Ogryczak and Ruszczy\'nski (1999) proved that those portfolios associated with the efficient frontiers generated by mean-lower semi-standard deviation model and mean- (lower semi-)absolute deviation model are efficient in the sense of second degree stochastic dominance....

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...