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dc.contributor.authorFrahm, Gabrielen_US
dc.contributor.authorWickern, Tobiasen_US
dc.contributor.authorWiechers, Christofen_US
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_US
dc.publisher|aUniv., Seminar für Wirtschafts- und Sozialstatistik |cKölnen_US
dc.relation.ispartofseries|aDiscussion papers in statistics and econometrics |x5/10en_US
dc.subject.keywordAsset allocationen_US
dc.subject.keywordCertainty equivalenten_US
dc.subject.keywordInvestment strategyen_US
dc.subject.keywordMultiple testsen_US
dc.subject.keywordNaive diversificationen_US
dc.subject.keywordOut-of-sample performanceen_US
dc.subject.keywordPortfolio optimizationen_US
dc.subject.keywordSharpe ratioen_US
dc.titleMultiple tests for the performance of different investment strategiesen_US
dc.typeWorking Paperen_US

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