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.

Creator

• Kohli, Jasraj

Contributori

• Heinricher, Arthur C.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-042605-143547

Parola chiave

• Resampling
• Michaud

Advisor

• Heinricher, Arthur C.

Defense date

• 2005-04-26

Year

• 2005

Date created

• 2005-04-26

Resource type

• Thesis

Rights statement

• In Copyright

Ultima modifica

• 2020-11-24