Fletcher, Jonathan (2011) Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns. International Review of Financial Analysis, 20 (5). 375–385. ISSN 1057-5219
Full text not available in this repository. (Request a copy from the Strathclyde author)Abstract
This paper examines whether optimal diversification strategies outperform the 1/N strategy in U.K. stock returns. The study focuses on the performance of recent strategies developed by Tu and Zhou(2011) and Kirby and Ostdiek(2010). I find that a number of optimal asset allocation strategies can significantly outperform the 1/N strategy even after adjusting for trading costs. The strategies developed by Kirby and Ostdiek outperform the 1/N strategy, even at higher trading costs, due to the low turnover of these strategies. The strategies of Tu and Zhou have mixed performance after adjusting for trading costs due to the high turnover of these strategies. The results of the paper provide support for the use of optimal diversification strategies.
| Item type: | Article |
|---|---|
| ID code: | 33132 |
| Keywords: | estimation risk, estimation error, combined portfolio strategies, mean-variance timing, Finance |
| Subjects: | Social Sciences > Finance |
| Department: | Strathclyde Business School > Accounting and Finance |
| Related URLs: | |
| Depositing user: | Pure Administrator |
| Date Deposited: | 06 Sep 2011 14:58 |
| Last modified: | 21 Jun 2012 11:58 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/33132 |
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