The authors show a similar outperformance for the other asset universe datasets that they tested (IMAGE)
Caption
Performance of the novel Markov Markowitz portfolio with 3-5 clusters as compared to benchmarks when run on the Growth, Value, Market Cap (GVMC) asset data out-of-sample from 2000-2022. The novel models labeled “Ours” all outperform the benchmarks.
Credit
Nolan Alexander et al.
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