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
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.
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