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Improving the performance of investing strategies   Xavier Saynac

Improving the performance of investing strategies

56 страниц. 2011 год.
LAP Lambert Academic Publishing
In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naive “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 naive 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.
 
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