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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
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dc.contributor.author | Frahm, Gabriel | en |
dc.contributor.author | Wickern, Tobias | en |
dc.contributor.author | Wiechers, Christof | en |
dc.date.accessioned | 2011-05-04T07:30:38Z | - |
dc.date.available | 2011-05-04T07:30:38Z | - |
dc.date.issued | 2010 | - |
dc.identifier.uri | http://hdl.handle.net/10419/45355 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Cologne, Seminar of Economic and Social Statistics |cCologne | en |
dc.relation.ispartofseries | |aDiscussion Papers in Statistics and Econometrics |x5/10 | en |
dc.subject.jel | C12 | en |
dc.subject.jel | G11 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Asset allocation | en |
dc.subject.keyword | Certainty equivalent | en |
dc.subject.keyword | Investment strategy | en |
dc.subject.keyword | Markowitz | en |
dc.subject.keyword | Multiple tests | en |
dc.subject.keyword | Naive diversification | en |
dc.subject.keyword | Out-of-sample performance | en |
dc.subject.keyword | Portfolio optimization | en |
dc.subject.keyword | Sharpe ratio | en |
dc.title | Multiple tests for the performance of different investment strategies | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 65663958X | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:ucdpse:510 | en |
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