Timeline for What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?
Current License: CC BY-SA 2.5
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| Aug 6, 2020 at 20:33 | comment | added | Nipper | @RamAhluwalia I noticed that behavior too. Oddly enough this happened to me extensivley when I tried resampling portfolios optimized with risk budget constraints. Is there a paper that address this aspect of resampling? | |
| Aug 1, 2011 at 23:51 | comment | added | Ram Ahluwalia | Michaud's re-sampling approach has perverse behavior (namely assigns higher weights to assets that high volatility in some circumstances). See Bernd Scherer's "Robust Portfolio Optimization", or Martin/Scherer's text for the details. There is also no theoretical basis for re-sampling. For this reason I would avoid re-sampling. | |
| Feb 1, 2011 at 22:08 | vote | accept | Karol J. Piczak | ||
| Feb 1, 2011 at 22:04 | comment | added | Karol J. Piczak | Thanks for a detailed answer. Haven't heard of Michaud's approach at all, so I will have to get into this paper in some spare time. And indeed - good return estimates are a value in themselves. Heck, I wouldn't need fancy theories when I could absolutely trust my return forecasts. ;-) | |
| Feb 1, 2011 at 6:50 | history | answered | Vishal Belsare | CC BY-SA 2.5 |