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An Empirical Analysis of Resampled Efficiency Public

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Michaud introduced resampled efficiency as an alternative and improvement to Markowitz mean-variance efficiency. While resampled efficiency is far from becoming the standard paradigm of capital allocation amongst risky assets, it has nonetheless gained considerable ground in financial circles and become a fairly debated portfolio construction technique. This thesis applies Michaud’s techniques to a wide array of stocks and tries to validate claims of performance superiority of resampled portfolios. While there seems to be no conclusive advantage or disadvantage of using resampling as a technique to obtain better returns, resampled portfolios do seem to offer higher stability and lower transaction costs.

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  • 11/24/2020
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  • English
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  • etd-042605-143547
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  • 2005
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  • 2005-04-26
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Permanent link to this page: https://digital.wpi.edu/show/hm50tr769