EconStor >
Technische Universität Braunschweig >
Institut für Finanzwirtschaft, Technische Universität Braunschweig >
Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/55254
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorBecker, Franziskaen_US
dc.contributor.authorGürtler, Marcen_US
dc.contributor.authorHibbeln, Martinen_US
dc.date.accessioned2012-02-08en_US
dc.date.accessioned2012-02-10T15:39:06Z-
dc.date.available2012-02-10T15:39:06Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/55254-
dc.description.abstractSeveral 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 Michaud on average. Furthermore, the estimation strategy of Frost/Savarino (1988) proves to work excellent in all analyzed situations.en_US
dc.language.isogeren_US
dc.publisherInstitut für Finanzwirtschaft, Technische Universität Braunschweig Braunschweigen_US
dc.relation.ispartofseriesWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig IF30V3en_US
dc.subject.jelG11en_US
dc.subject.jelC15en_US
dc.subject.ddc330en_US
dc.subject.keywordportfolio selectionen_US
dc.subject.keywordestimators of momentsen_US
dc.subject.keywordsimulation studyen_US
dc.subject.keywordmean-variance optimizationen_US
dc.subject.keywordresampled efficiencyen_US
dc.titleMarkowitz versus Michaud: Portfolio optimization strategies reconsidereden_US
dc.typeWorking Paperen_US
dc.identifier.ppn684929953en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:tbsifw:IF30V3-
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

Files in This Item:
File Description SizeFormat
684929953.pdf534.71 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.