Title page for ETD etd-042605-143547

Document Type	thesis
Author Name	Kohli, Jasraj
URN	etd-042605-143547
Title	An Empirical Analysis of Resampled Efficiency
Degree	MS
Department	Mathematical Sciences
Advisors	Dr. Arthur Heinricher, Advisor Dr. Bogdan Vernescu, Department Head
Keywords	Resampling Michaud
Date of Presentation/Defense	2005-04-26
Availability	unrestricted
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.
Files	Raj_Project.pdf

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