A theoretical foundation of portfolio resampling

DOI10.1007/s11238-014-9453-0zbMath1377.91149OpenAlexW3123836493MaRDI QIDQ497474

Gabriel Frahm

Publication date: 24 September 2015

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11238-014-9453-0

zbMATH Keywords

mean-variance analysisasset allocationnoise traderout-of-sample performanceportfolio resamplingresampled efficiencysignal trader

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Portfolio theory (91G10)

Related Items (4)

A new procedure for resampled portfolio with shrinkaged covariance matrix ⋮ Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it ⋮ A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry ⋮ Statistical properties of estimators for the log-optimal portfolio

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