To What Extent is Resampling Useful in Portfolio Management?

We take a new look at the resampled efficiency technique developed by Michaud (1998) and compare it with the Markowitz mean-variance portfolio construction technique by assessing the performance of three representative portfolios, i.e. the global minimum variance portfolio, the intermediate return portfolio, and the maximum return portfolio. We show that resampling leads to more stable and more diversified portfolios. However, the out-of-sample analysis shows that resampling does not systematically increase (decrease) the risk-adjusted performance (turnover) of the portfolios