Browsing AURA by Author "Nergaard, Erik Danielsen"
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A Re-Examination of Performance of Optimized Portfolios
Bakke, Andreas Lillehagen; Nergaard, Erik Danielsen (Master thesis, 2017)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 ...