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| Author: | Scherer, B. |
| Title: | Portfolio resampling: Review and critique |
| Journal: | Financial Analysts' Journal
2002 : NOV/DEC, VOL. 58:6, p. 98-108 |
| Index terms: | Portfolio management Assets Estimation Statistical methods |
| Language: | eng |
| Abstract: | A well-understood fact of asset allocation is that the traditional portfolio optimization algorithm is too powerful for the quality of the inputs. Recently, a new concept called "resampled efficiency" has been introduced into the asset management world to deal with estimation error. The objective of this article is to describe this new technology, put it into the context of established procedures, and point to some peculiarities of the approach. |
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