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Optimal diversification: an empirical approach

Author

Listed:
  • Fabiomassimo Mango

    (Università di Roma La Sapienza)

  • Pina Murè

    (Università di Roma La Sapienza)

  • Marco Spallone

    (Università di Chieti e Pescara G. d’Annunzio)

Abstract

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

Suggested Citation

  • Fabiomassimo Mango & Pina Murè & Marco Spallone, 2018. "Optimal diversification: an empirical approach," BANCARIA, Bancaria Editrice, vol. 3, pages 62-71, March.
    • Handle: RePEc:ban:bancar:v:3:y:2018:m:march:p:62-71
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    File URL: http://www.bancaria.it/en/optimal-diversification-an-empirical-approach
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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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