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dc.contributor.authorBecker, Franziskaen_US
dc.contributor.authorGürtler, Marcen_US
dc.contributor.authorHibbeln, Martinen_US
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.publisher|aInstitut für Finanzwirtschaft, Technische Universität Braunschweig |cBraunschweigen_US
dc.relation.ispartofseries|aWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig |xIF30V3en_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

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