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dc.contributor.authorBecker, Franziskaen
dc.contributor.authorGürtler, Marcen
dc.contributor.authorHibbeln, Martinen
dc.date.accessioned2012-02-08-
dc.date.accessioned2012-02-10T15:39:06Z-
dc.date.available2012-02-10T15:39:06Z-
dc.date.issued2009-
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
dc.language.isogeren
dc.publisher|aTechnische Universität Braunschweig, Institut für Finanzwirtschaft |cBraunschweigen
dc.relation.ispartofseries|aWorking Paper Series |xIF30V3en
dc.subject.jelG11en
dc.subject.jelC15en
dc.subject.ddc330en
dc.subject.keywordportfolio selectionen
dc.subject.keywordestimators of momentsen
dc.subject.keywordsimulation studyen
dc.subject.keywordmean-variance optimizationen
dc.subject.keywordresampled efficiencyen
dc.titleMarkowitz versus Michaud: Portfolio optimization strategies reconsidered-
dc.typeWorking Paperen
dc.identifier.ppn684929953en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tbsifw:IF30V3en

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