Shortfall portfolio selection: a bootstrap and k-fold analysis

M. Ryan Haley

Applied Economics Letters, 2022, vol. 29, issue 4, 307-310

Abstract: This paper empirically compares the sampling properties and out-of-sample performance of several reputed shortfall-based portfolio selection rules by applying the bootstrap and k-fold cross validation to two distinct data sets spanning five decades. The results suggest that a simple extension of the venerable Safety First rule offers the best overall performance, especially when methodological simplicity is desired.

Date: 2022
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DOI: 10.1080/13504851.2020.1866151

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