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dc.contributor.authorFrahm, Gabrielen
dc.contributor.authorWickern, Tobiasen
dc.contributor.authorWiechers, Christofen
dc.date.accessioned2011-05-04T07:30:38Z-
dc.date.available2011-05-04T07:30:38Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/45355-
dc.description.abstractIn 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.en
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Seminar of Economic and Social Statistics |cCologneen
dc.relation.ispartofseries|aDiscussion Papers in Statistics and Econometrics |x5/10en
dc.subject.jelC12en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordAsset allocationen
dc.subject.keywordCertainty equivalenten
dc.subject.keywordInvestment strategyen
dc.subject.keywordMarkowitzen
dc.subject.keywordMultiple testsen
dc.subject.keywordNaive diversificationen
dc.subject.keywordOut-of-sample performanceen
dc.subject.keywordPortfolio optimizationen
dc.subject.keywordSharpe ratioen
dc.titleMultiple tests for the performance of different investment strategies-
dc.typeWorking Paperen
dc.identifier.ppn65663958Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ucdpse:510en

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