Browsing AURA by Author "Pettersen, Eivind"
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Optimized Portfolios vs Naive Diversification: A re-examination using tests free of data-snooping
Pettersen, Eivind; Tveit, Henning Pettersen (Master thesis, 2020)Whether optimized portfolio strategies have superior performance to the naïve diversification or not, has been a heated debate since the publication of DeMiguel,Garlappi, and Uppal (2009). The authors evaluated 14 models ...