Abstract
In this paper, we investigate the relative performance of stocks and bonds for various investment horizons on the French Market. We use a new Markowian moving block bootstrap approach to take account for estimation risk. Furthermore, in the light of non normality of returns, we use two different risk approach as input in portfolio optimization - the traditional variance and a downside risk measure, the semi variance.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callSimilar Papers
More From: SSRN Electronic Journal
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
