An Empirical Analysis of Resampled Efficiency
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open in viewerMichaud 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.
- Creator
- Colaboradores
- Degree
- Unit
- Publisher
- Language
- English
- Identifier
- etd-042605-143547
- Palabra Clave
- Advisor
- Defense date
- Year
- 2005
- Date created
- 2005-04-26
- Resource type
- Rights statement
- Última modificación
- 2020-11-24
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Miniatura | Título | Visibilidad | Embargo Release Date | Acciones |
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Raj_Project.pdf | Público | Descargar |
Permanent link to this page: https://digital.wpi.edu/show/hm50tr769