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| Author: | Fletcher, J. Hillier, J. |
| Title: | An examination of resampled portfolio efficiency |
| Journal: | Financial Analysts' Journal
2001 : SEP/OCT, VOL. 57:5, p. 66-74 |
| Index terms: | ASSETS EFFICIENCY PORTFOLIO MANAGEMENT RETURN ON INVESTMENT |
| Language: | eng |
| Abstract: | The authors 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 they 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. |
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