Brandt, Michael W. (contributor); … - 2004 - rev.
.
Bansal and Harvey (1996) use conditional portfolios in performance evaluation.
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variables. We show that the weight invested … covariance matrix of the portfolio weights
in equation (18), or on the basis of out-of-sample performance. From an economic … not suffer from exploding weights (as mean-variance efficient
portfolios often do) and have outstanding performance both …