A theoretical foundation of portfolio resampling

DOI10.1007/S11238-014-9453-0MaRDI QIDQ497474zbMATH OpenOpenAlexFDO

Authors Gabriel Frahm

Publication date 24 September 2015

Published in Theory and Decision (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11238-014-9453-0

zbMATH Keywords

asset allocationmean-variance analysisnoise traderout-of-sample performanceportfolio resamplingresampled efficiencysignal trader

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 3087284 (Why is no real title available?)
• scientific article; zbMATH DE number 3106184 (Why is no real title available?)
• A general approach to Bayesian portfolio optimization
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A unified Bayesian decision theory
• Asset Prices in an Exchange Economy
• Bagging predictors
• Dominating estimators for minimum-variance portfolios
• Estimation for Markowitz Efficient Portfolios
• Large Sample Properties of Generalized Method of Moments Estimators
• Multiple tests for the performance of different investment strategies
• Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches
• Risk Aversion in the Small and in the Large
• The meaning of market efficiency
• Theory of capacities

Cited in

(8)

• A new procedure for resampled portfolio with shrinkaged covariance matrix
• Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
• Usefulness of bootstrapping in portfolio management
• A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
• Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
• Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
• Statistical properties of estimators for the log-optimal portfolio
• Portfolio Resampling in Malaysian Equity Market

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