@techreport{Frahm2010Multiple,
abstract = {In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of approaches is considered in this work, including the traditional sample-based approach, several minimum-variance techniques, a shrinkage, and a minimax approach. In contrast to similar studies in the literature, we also consider shortselling constraints and a risk-free asset. We provide a way to extend the concept of minimum-variance strategies in the context of short-selling constraints. A main drawback of most empirical studies on that topic is the use of simple-testing procedures which do not account for the effects of multiple testing. For that reason we conduct several hypothesis tests which are proposed in the multiple-testing literature. We test whether it is possible to beat a trivial strategy by at least one of the non-trivial strategies, whether the trivial strategy is better than every non-trivial strategy, and which of the non-trivial strategies are significantly outperformed by naive diversification. In our empirical study we use monthly US stock returns from the CRSP database, covering the last 4 decades.},
address = {K\"{o}ln},
author = {Gabriel Frahm and Tobias Wickern and Christof Wiechers},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C12; G11; 330; Asset allocation; Certainty equivalent; Investment strategy; Markowitz; Multiple tests; Naive diversification; Out-of-sample performance; Portfolio optimization; Sharpe ratio},
language = {eng},
number = {5/10},
publisher = {Univ., Seminar f\"{u}r Wirtschafts- und Sozialstatistik},
title = {Multiple tests for the performance of different investment strategies},
type = {Discussion papers in statistics and econometrics},
url = {http://hdl.handle.net/10419/45355},
year = {2010}
}
