In this article a realized regression version of the Britten-Jones (BJ, 1999) portfolio selection approach is proposed, yielding a conditional mean-variance efficient portfolio selection strategy. Application to euro area stock markets diversification, differently from other standard approaches, actually yields a balanced and stable allocation of wealth, free from the problem of corner solutions, suggesting that diversification among euro area stock markets is still feasible and desirable.
Morana, C. (2010). Realized mean-variance efficient portfolio selection and euro area stock market integration. APPLIED FINANCIAL ECONOMICS, 20(12), 989-1001 [10.1080/09603101003724349].
Realized mean-variance efficient portfolio selection and euro area stock market integration
MORANA, CLAUDIO
2010
Abstract
In this article a realized regression version of the Britten-Jones (BJ, 1999) portfolio selection approach is proposed, yielding a conditional mean-variance efficient portfolio selection strategy. Application to euro area stock markets diversification, differently from other standard approaches, actually yields a balanced and stable allocation of wealth, free from the problem of corner solutions, suggesting that diversification among euro area stock markets is still feasible and desirable.
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