Download full text
(external source)
Citation Suggestion
Please use the following Persistent Identifier (PID) to cite this document:
https://hdl.handle.net/10419/55254
Exports for your reference manager
Markowitz versus Michaud: Portfolio optimization strategies reconsidered
[working paper]
Corporate Editor
Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
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 in... view more
"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)... view less
Keywords
portfolio management; securities; stock exchange; stock market; efficiency; optimization
Classification
National Economy
Document language
English
Publication Year
2009
City
Braunschweig
Page/Pages
37 p.
Series
IF Working Paper Series, IF30V3
Handle
https://hdl.handle.net/10419/55254
Status
reviewed
Licence
Deposit Licence - No Redistribution, No Modifications
Data providerThis metadata entry was indexed by the Special Subject Collection Social Sciences, USB Cologne