Optimized portfolios versus Naive Diversification : could the superior performance of optimized portfolios be attributed to established factor premiu…

2017

Master's thesis Business Administration BE501 - University of Agder 2017 Since the publication of the study by DeMiguel, Garlappi & Uppal (2009), where theydemonstrate that none of the 14 mean-variance optimization strategies outperform thenaive diversification, several studies claim to defend the superiority of portfolio optimiza-tion strategies relative to the naive diversification (see e.g. Kritzman, Page & Turkington(2010), Tu & Zhou (2011), Kirby & Ostdiek (2012)). However, in a recent study byZakamulin (2017), the author states that the superior performance of these optimizedstrategies appears due to exposures to established factor premiums. Motivated by thestudy of Zakamulin (2017), …