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