Multiple tests for the performance of different investment strategies
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KeywordsAsset allocation; Certainty equivalent; Investment strategy; Markowitz; Multiple tests; Naive diversification; Out-of-sample performance; Portfolio optimization; Sharpe ratio;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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