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Archive » March 2018 » Optimal diversification: an empirical approach

Optimal diversification: an empirical approach

Fabiomassimo Mango, Pina Murè, Marco Spallone
March 2018 - n. 3
Jel codes: G11, G15

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.

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