Search Results - subject:"Resampled efficiency"

Markowitz versus Michaud: Portfolio optimization strategies reconsidered

Becker, Franziska; Gürtler, Marc; Hibbeln, Martin - 2009

been generated to enhance the portfolio performance, for instance the resampled efficiency of Michaud (1998). We compare … the out-ofsample performance of traditional Mean-Variance optimization by Markowitz (1952) with Michaud's resampled … efficiency in a comprehensive simulation study for a large number of relevant estimators appearing in the literature. In this …

Persistent link: https://www.econbiz.de/10010307960

Markowitz versus Michaud: Portfolio optimization strategies reconsidered

Becker, Franziska; Gürtler, Marc; Hibbeln, Martin - Department Wirtschaftswissenschaften, Technische … - 2009

Persistent link: https://www.econbiz.de/10009646415

A theoretical foundation of portfolio resampling

Frahm, Gabriel - In: Theory and decision : an international journal for … 79 (2015) 1, pp. 107-132

Persistent link: https://www.econbiz.de/10011485370

Markowitz versus Michaud : portfolio optimization strategies reconsidered

Becker, Franziska; Gürtler, Marc; Hibbeln, Martin - In: The European journal of finance 21 (2015) 4/6, pp. 269-291

Persistent link: https://www.econbiz.de/10010528202

HIGHER ORDER MOMENTS RESAMPLING

Galloppo, Giuseppe - In: Accounting & Taxation 3 (2011) 1, pp. 1-14

moments of financial assets return distributions. Specifically, the first four moments are examined. The Resampled Efficiency …

Persistent link: https://www.econbiz.de/10011122780