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To what extent is resampling useful in portfolio management?

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  • Francois Delcourt
  • Mikael Petitjean

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.

Suggested Citation

  • Francois Delcourt & Mikael Petitjean, 2011. "To what extent is resampling useful in portfolio management?," Applied Economics Letters, Taylor & Francis Journals, vol. 18(3), pages 239-244.
    • Handle: RePEc:taf:apeclt:v:18:y:2011:i:3:p:239-244
    DOI: 10.1080/13504851003636123
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    Cited by:

    1. Duc Hong Vo, 2021. "Portfolio Optimization and Diversification in China: Policy Implications for Vietnam and Other Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(1), pages 223-238, January.
    2. Radovanov Boris & Marcikić Aleksandra, 2014. "Testing The Performance Of The Investment Portfolio Using Block Bootstrap Method," Economic Themes, Sciendo, vol. 52(2), pages 166-183, June.
    3. Anja Vinzelberg & Benjamin R. Auer, 2022. "Unprofitability of food market investments," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(7), pages 2887-2910, October.

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