Z-score vs minimum variance preselection methods for constructing small portfolios by Francesco Cesarone, Fabiomassimo Mango, Gabriele Sabato

Subjects: “…asset allocation…”
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Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution by Francesco Cesarone, Raffaello Cesetti, Giuseppe Orlando, Manuel Luis Martino, Jacopo Maria Ricci

“…However, since the reference distribution could strongly influence asset allocation, in this article, we compare two SSD-based portfolio selection strategies with a reshaping of the reference distribution in terms of its skewness and, consequently, its variance. …”
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