Optimal diversification: an empirical approach

Fabiomassimo Mango, Pina Murè and Marco Spallone ()
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Fabiomassimo Mango: Università di Roma La Sapienza
Pina Murè: Università di Roma La Sapienza

BANCARIA, 2018, vol. 3, 62-71

Abstract: Research on portfolio strategies of risky securities plays an important role in literature. The main strategies explored are often difficult to be implemented; this is mainly due to operational constraints, corporate and regulatory requirements. We have therefore tested the effectiveness, in terms of performance, of a basket of 15 portfolio strategies selected from the most widespread in literature and among professionals. Our results show that there is no dominant strategy for all the markets, even if the so-called «Naive» strategy is often the most effective one; it is, however, possible to identify the dominant strategies for each specific market

JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:3:y:2018:m:march:p:62-71

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