A density-forecasting test defines a 'consistency region' in risk-return space where ex-post performance matches ex-ante estimates, and a strategy investing in consistent portfolios beat a standard efficient-portfolio strategy in a DJ30 backtest.
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Quantitative portfolio selection: using density forecasting to find consistent portfolios
A density-forecasting test defines a 'consistency region' in risk-return space where ex-post performance matches ex-ante estimates, and a strategy investing in consistent portfolios beat a standard efficient-portfolio strategy in a DJ30 backtest.