Resumen de Realized mean-variance efficient portfolio selection and euro area stock market integration

Claudio Morana

• In this article a realized regression version of the Britten-Jones (BJ, 1999) portfolio selection approach is proposed, yielding a conditional mean-variance efficient portfolio selection strategy. Application to euro area stock markets diversification, differently from other standard approaches, actually yields a balanced and stable allocation of wealth, free from the problem of corner solutions, suggesting that diversification among euro area stock markets is still feasible and desirable.