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Multivariate portfolio optimization and its relationship to out-of-sample performances has been widely studied in the context of competing allocation strategies ranging from mean-variance portfolios to a naive equally-weighted policy. However, a very fundamental question has been largely neglected: To which degree does optimality help to improve ou...
Trading rules performing well on a given data set seldom lead to promising out-of-sample results, a problem which is a consequence of the in-sample data snooping bias. Efforts to justify the selection of trading rules by assessing the out-of-sample performance will not really remedy this predicament either, because they are prone to be trapped in w...
Currency carry trading is an investment strategy which borrows in a low-yield currency and/or invests in a high-yield currency, with the hope of profiting from the interest rate differential (the carry) between two money markets, as well as from currency movements. Technically, profit (or loss) will be generated by a difference between the exchange...