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Portfolio Resampling: Review and Critique

Published:2002-11 Issue:6 Volume:58 Page:98-109
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Scherer Bernd¹

Affiliation:

1. Bernd Scherer is the European head of advanced applications at Deutsche Asset Management, Frankfurt am Main.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v58.n6.2489

Reference15 articles.

1. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results

2. The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights

3. The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice

4. Massaging Mean-Variance Inputs: Returns from Alternative Global Investment Strategies in the 1980s

5. A Test of the Efficiency of a Given Portfolio

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1. Geometric insights into robust portfolio construction;2024

2. The Michaud Efficient Frontier and Expected Utility;Finance's Wrong Turns;2023

3. Research on the Application of Mean-Variance Model in Securities Investment Portfolio Planning: Evidence from China Stock Market;SSRN Electronic Journal;2023

4. Does Portfolio Resampling Really Improve Out-of-Sample Performance? Evidence from the Brazilian and Us Markets;2023

5. Inference on estimators defined by mathematical programming;Journal of Econometrics;2022-02

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