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1. Realized mean-variance efficient portfolio selection and euro area stock market integration.

Author

Morana, Claudio

Subjects
REGRESSION analysis, STRATEGIC planning, STOCK exchanges, MONEY, STOCKS (Finance)
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. [ABSTRACT FROM AUTHOR]

Published
2010
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