A Re-Examination of Performance of Optimized Portfolios
Master thesis
Permanent lenke
http://hdl.handle.net/11250/2453019Utgivelsesdato
2017Metadata
Vis full innførselSamlinger
Sammendrag
DeMiguel, Garlappi, and Uppal (2009) conducted a study demonstrating that meanvariance
optimized portfolios do not consistently outperform the naive diversi cation
strategy in out-of-sample tests. This caused a heated debate and several studies claim
to defend the value of mean-variance optimization. Kirby and Ostdiek (2012) developed
two new methods of mean-variance portfolio optimization and demonstrated that these
strategies show superior out-of-sample performance as compared to performance of the
1/N strategy. Several other papers demonstrated that the Global Minimum Variance
portfolio outperforms the naive diversi cation. What all these papers have in common
is that they measure the performance using the Sharpe ratio. Zakamulin (2017) argues
that to display a convincing demonstration of the value of mean-variance optimization,
one needs to show that the superior performance cannot be attributed to some known
anomalies. In this thesis, we demonstrate that the strategies of Kirby and Ostdiek and
the Global Minimum Variance strategy outperform the naive rule. We use several US
datasets with an extended sample period and shorter estimation window. However, after
accounting for three known anomalies, there is no longer any evidence of superior performance.
Using similar data from the OSE, we also demonstrate that these strategies do
not seem to work in Norway.
i
Beskrivelse
Master's thesis Business Administration BE501 - University of Agder 2017