Markowitz versus Michaud: Portfolio optimization strategies reconsidered

Becker, Franziska; Gürtler, Marc; Hibbeln, Martin

[working paper]

dc.contributor.author	Becker, Franziska	de
dc.contributor.author	Gürtler, Marc	de
dc.contributor.author	Hibbeln, Martin	de
dc.date.accessioned	2012-05-29T14:03:00Z	de
dc.date.accessioned	2012-11-28T13:19:54Z
dc.date.available	2012-11-28T13:19:54Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/32235
dc.description.abstract	"Several attempts have been made to reduce the impact of estimation errors on the optimal portfolio composition. On the one hand, improved estimators of the necessary moments have been developed and on the other hand, heuristic methods have 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 context we consider different estimation periods as well as unconstrained and constrained portfolio optimization problems. The main finding of our simu-lation study concerning the optimization approach is that Markowitz outperforms Mi-chaud on average. Furthermore, the estimation strategy of Frost/Savarino (1988) proves to work excellent in all analyzed situations." (author's abstract)	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.title	Markowitz versus Michaud: Portfolio optimization strategies reconsidered	de
dc.description.review	begutachtet	de
dc.description.review	reviewed	en
dc.source.volume	IF30V3	de
dc.publisher.country	DEU
dc.publisher.city	Braunschweig	de
dc.source.series	IF Working Paper Series
dc.subject.classoz	National Economy	en
dc.subject.classoz	Volkswirtschaftstheorie	de
dc.subject.thesoz	Portfolio-Management	de
dc.subject.thesoz	portfolio management	en
dc.subject.thesoz	Wertpapier	de
dc.subject.thesoz	securities	en
dc.subject.thesoz	Börse	de
dc.subject.thesoz	stock exchange	en
dc.subject.thesoz	Aktienmarkt	de
dc.subject.thesoz	stock market	en
dc.subject.thesoz	Effizienz	de
dc.subject.thesoz	efficiency	en
dc.subject.thesoz	Optimierung	de
dc.subject.thesoz	optimization	en
dc.date.modified	2012-05-29T14:03:00Z	de
dc.rights.licence	Deposit Licence - Keine Weiterverbreitung, keine Bearbeitung	de
dc.rights.licence	Deposit Licence - No Redistribution, No Modifications	en
ssoar.greylit	true	de
ssoar.contributor.institution	USB Köln	de
internal.status	formal und inhaltlich fertig erschlossen	de
internal.identifier.thesoz	10051575
internal.identifier.thesoz	10062216
internal.identifier.thesoz	10034972
internal.identifier.thesoz	10034970
internal.identifier.thesoz	10041426
internal.identifier.thesoz	10053781
dc.type.stock	monograph	de
dc.type.document	Arbeitspapier	de
dc.type.document	working paper	en
dc.rights.copyright	f	de
dc.source.pageinfo	37	de
internal.identifier.classoz	1090301
internal.identifier.document	3
dc.contributor.corporateeditor	Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
internal.identifier.corporateeditor	434
internal.identifier.ddc	330
dc.description.pubstatus	Unknown	en
dc.description.pubstatus	unbekannt	de
internal.identifier.licence	3
internal.identifier.pubstatus	4
internal.identifier.review	2
internal.identifier.series	675
dc.identifier.handle	https://hdl.handle.net/10419/55254
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Economic Theory

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