Realized mean-variance efficient portfolio selection and euro area stock market integration

Claudio Morana

Applied Financial Economics, 2010, vol. 20, issue 12, 989-1001

Abstract: In this article a realized regression version of the Britten-Jones (BJ, 1999) portfolio selection approach is proposed, yielding a conditional mean-variance efficient portfolio selection strategy. Application to euro area stock markets diversification, differently from other standard approaches, actually yields a balanced and stable allocation of wealth, free from the problem of corner solutions, suggesting that diversification among euro area stock markets is still feasible and desirable.

Date: 2010
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DOI: 10.1080/09603101003724349

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