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.
Worcester Polytechnic Institute
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Kohli, Jasraj, "An Empirical Analysis of Resampled Efficiency" (2005). Masters Theses (All Theses, All Years). 314.
Resampling, Michaud, Portfolio management, Resampling (Statistics)