Sector Behavior, Market Efficiency, and the Optimal Risky Portfolio

Stock sector investing has become increasingly popular since the creation of the Global Industry Classification System in 1999, yet little academic research has explored sector behavior. This study begins to fill the void by examining how each sector contributes to the optimal risky portfolio over time. Using a much longer time series than previous studies, a crisp definition of sectors, and the perspective of mean Markowitz optimization, this...