Delcourt, Francois; Petitjean, Mikael - In: Applied Economics Letters 18 (2011) 3, pp. 239-244
We take a new look at the resampled efficiencyTM 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 (GMV) portfolio, the...