O'Reilly logo

Rethinking Valuation and Pricing Models by Greg N. Gregoriou, Christian Hoppe, Carsten Wehn

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

25

Market Volatility, Optimal Portfolios and Naive Asset Allocations

Massimiliano Caporin and Loriana Pelizzon∗∗

University of Padova

∗∗University Ca’ Foscari Venice

Chapter Outline

25.1 Introduction

Over the past 30 years we have seen a long debate on the performance of various asset allocation strategies when the investor cares only about the mean and the variance of static portfolio returns. In a recent paper, De Miguel et al. (2009b) show that the 1/N asset allocation rule typically ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required