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An examination of resampled portfolio efficiency

Fletcher, J. and Hillier, J. (2001) An examination of resampled portfolio efficiency. Financial Analysts Journal, 57 (5). pp. 66-74. ISSN 0015-198X

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Abstract

We examined the out-of-sample performance of using resampled portfolio efficiency, an approach proposed in 1998, in international asset allocation strategies for the period January 1983 to May 2000. For most models we used to estimate expected returns, using strategies based on resampled portfolio efficiency provided some benefits, in terms of improved Sharpe ratios and abnormal returns, over using traditional mean-variance strategies. We found little evidence, however, that active mean-variance strategies or resampled efficiency strategies would have generated significantly positive abnormal returns for the time period we considered.

Item type: Article
ID code: 3660
Keywords: portfolio management, mean variance strategies, resampled portfolio efficiency, Finance, Finance, Economics and Econometrics, Accounting
Subjects: Social Sciences > Finance
Department: Strathclyde Business School > Accounting and Finance
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Depositing user: Strathprints Administrator
Date Deposited: 06 Jul 2007
Last modified: 25 Jun 2014 11:53
URI: http://strathprints.strath.ac.uk/id/eprint/3660

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