A theoretical foundation of portfolio resampling

DOI10.1007/S11238-014-9453-0zbMATH Open1377.91149OpenAlexW3123836493MaRDI QIDQ497474FDOQ497474

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

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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)

Cites Work

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• Theory of capacities
• Estimation for Markowitz Efficient Portfolios
• Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches
• A general approach to Bayesian portfolio optimization
• Multiple tests for the performance of different investment strategies

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
• Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
• Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
• Statistical properties of estimators for the log-optimal portfolio
• Portfolio Resampling in Malaysian Equity Market

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