1. We consider an additional way of calibrating the combination coefficient c for the two-fund rule, and the coefficients c 1 and c 2 for the threefund rule, which is to fully calibrate them from the data by using a five-fold cross-validation. We consider six different datasets that we obtain from Kenneth French's and Robert Novy-Marx's websites. First, a dataset of 10 portfolios of firms sorted on momentum spanning January;Section 6.1 using empirical data,1926
2. Approaching mean-variance efficiency for large portfolios;Mengmeng Ao;The Review of Financial Studies,2019
3. Lest we forget: Using out-of-sample forecast errors in portfolio optimization;Pedro Barroso;The Review of Financial Studies,2021
4. Greatest lower bound to the elliptical theory kurtosis parameter;P M Bentler;Biometrika,1986
5. Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?;Demiguel;The Review of Financial Studies,2009