Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-042605-143547


Document Typethesis
Author NameKohli, Jasraj
URNetd-042605-143547
TitleAn Empirical Analysis of Resampled Efficiency
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Dr. Arthur Heinricher, Advisor
  • Dr. Bogdan Vernescu, Department Head
  • Keywords
  • Resampling
  • Michaud
  • Date of Presentation/Defense2005-04-26
    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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