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Portfolio diversification and filter rule profits

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  • Patricia Chelley-Steeley
  • James Steeley

Abstract

Previously, it has been shown that the profits from a simple market timing trading rule applied to a portfolio of shares can be affected by the inter-relationships between the returns of the component securities. In this short letter, the results from applying a more sophisticated 'filter' rule to the same data are reported. Unlike the simple trading rule, the filter rule does produce some evidence of economic profits.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048500351735&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 7 (2000)
Issue (Month): 3 ()
Pages: 171-175

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Handle: RePEc:taf:apeclt:v:7:y:2000:i:3:p:171-175

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