Faculty Advisor or Committee Member

Dr. Arthur Heinricher, Advisor

Faculty Advisor or Committee Member

Dr. Bogdan Vernescu

Identifier

etd-042605-143547

Abstract

Michaud introduced resampled efficiency as an alternative and improvement to Markowitz mean-variance efficiency. While resampled efficiency is far from becoming the standard paradigm of capital allocation amongst risky assets, it has nonetheless gained considerable ground in financial circles and become a fairly debated portfolio construction technique. This thesis applies Michaud's techniques to a wide array of stocks and tries to validate claims of performance superiority of resampled portfolios. While there seems to be no conclusive advantage or disadvantage of using resampling as a technique to obtain better returns, resampled portfolios do seem to offer higher stability and lower transaction costs.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2005-04-26

Accessibility

Unrestricted

Subjects

Resampling, Michaud, Portfolio management, Resampling (Statistics)

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