To what extent is resampling useful in portfolio management?

Francois Delcourt and Mikael Petitjean

Applied Economics Letters, 2011, vol. 18, issue 3, 239-244

Abstract: We take a new look at the resampled efficiencyTM technique developed by Michaud (1998) and compare it with the Markowitz mean-variance portfolio construction technique by assessing the performance of three representative portfolios, i.e. the Global Minimum Variance (GMV) portfolio, the Intermediate Return (I) portfolio and the Maximum Return (M) portfolio. We show that resampling leads to more stable and more diversified portfolios. However, the out-of-sample analysis shows that resampling does not systematically increase (decrease) the risk adjusted performance (turnover) of the portfolios.

Date: 2011
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DOI: 10.1080/13504851003636123

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