ISBN: 9783845404837

In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve ´1/n portfolio´, that is investing equally on each of n assets. A similar research … Plus…

In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve ´1/n portfolio´, that is investing equally on each of n assets. A similar research was already conducted by Victor DeMiguel, Lorenzo Garlappi, and Raman Uppal in the paper ´Optimal versus Naive Diversification: How Inefficient Is the 1/n Portfolio Strategy?´. Nevertheless, we show that using a risk calibration and different test statistic to measure portfolio performance, we reach very different conclusions. We indeed show that Markowitz does outperform the naïve 1/n portfolio and we present a method to maximize the out-of-sample performance of the Markowitz portfolio. We also show that when we add some maximum rebalancing constraints on the asset weights, the Markowitz model still outperforms the 1/n portfolio, and in addition becomes very robust. Finally, we apply this constrained mean-variance method to show that any portfolio can be improved upon. Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, LAP LAMBERT Academic Publishing<

ISBN: 9783845404837

In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve 1/n portfolio , that is investing equally on each of n assets. A similar research w… Plus…

In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve 1/n portfolio , that is investing equally on each of n assets. A similar research was already conducted by Victor DeMiguel, Lorenzo Garlappi, and Raman Uppal in the paper Optimal versus Naive Diversification: How Inefficient Is the 1/n Portfolio Strategy? . Nevertheless, we show that using a risk calibration and different test statistic to measure portfolio performance, we reach very different conclusions. We indeed show that Markowitz does outperform the naïve 1/n portfolio and we present a method to maximize the out-of-sample performance of the Markowitz portfolio. We also show that when we add some maximum rebalancing constraints on the asset weights, the Markowitz model still outperforms the 1/n portfolio, and in addition becomes very robust. Finally, we apply this constrained mean-variance method to show that any portfolio can be improved upon. Bücher, Hörbücher & Kalender / Bücher / Sachbuch / Wirtschaft<

2011, ISBN: 9783845404837

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[ED: Kartoniert / Broschiert], [PU: LAP LAMBERT Academic Publishing], Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Sayna… Plus…

[ED: Kartoniert / Broschiert], [PU: LAP LAMBERT Academic Publishing], Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Saynac XavierXavier Saynac, M.Eng, MBA. Specialized in Finance at the Universtity of New Brunswick (Canada) and in Strategy at Nanyang Business S, DE, [SC: 0.00], Neuware, gewerbliches Angebot, Taschenbuch, 56, [GW: 102g], 1. Auflage, Banküberweisung, PayPal<

2011, ISBN: 3845404833

[EAN: 9783845404837], Neubuch, [PU: LAP LAMBERT Academic Publishing], Books

2011, ISBN: 9783845404837

Trade paperback, New., Trade paperback (US). Glued binding. 56 p., Saarbrucken, [PU: LAP Lambert Academic Publishing]