USEFULNESS OF BOOTSTRAPPING IN PORTFOLIO MANAGEMENT
This paper contains a comparison of in-sample and out-of-sample performances between the resampled efficiency technique, patented by Richard Michaud and Robert Michaud (1999), and traditional Mean-Variance portfolio selection, presented by Harry Markowitz (1952). Based on the Monte Carlo simulation,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Croatian Operational Research Society
2012-12-01
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| Series: | Croatian Operational Research Review |
| Subjects: | |
| Online Access: | http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=142318 |