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Improving the performance of investing strategies - Xavier Saynac
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Xavier Saynac:
Improving the performance of investing strategies - nouveau livre

ISBN: 9783845404837

ID: f3ded5894a48d9b5ed4cab97cb9f932d

Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy 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 / Fremdsprachige Bücher / Englische Bücher 978-3-8454-0483-7, LAP Lambert Academic Publishing

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Improving the performance of investing strategies - Xavier Saynac
Livre non disponible
(*)
Xavier Saynac:
Improving the performance of investing strategies - nouveau livre

ISBN: 9783845404837

ID: 694367437

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

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Improving the performance of investing strategies - Xavier Saynac
Livre non disponible
(*)
Xavier Saynac:
Improving the performance of investing strategies - nouveau livre

ISBN: 9783845404837

ID: 182450075

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 Acad. Publ.

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Improving the performance of investing strategies - Xavier Saynac
Livre non disponible
(*)
Xavier Saynac:
Improving the performance of investing strategies - nouveau livre

ISBN: 9783845404837

ID: d6aaed1d3065a33def682f55e5e90b22

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 / Sozialwissenschaften, Recht & Wirtschaft / Wirtschaft

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Saynac, Xavier: Improving the performance of investing strategies
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Saynac, Xavier: Improving the performance of investing strategies - nouveau livre

ISBN: 9783845404837

ID: 46029561

Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy Bücher > Wissenschaft > Wirtschaftswissenschaft

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