Optimized Portfolios vs. the Naive-Diversification Strategy

2019

Master's thesis Business Administration BE501 - University of Agder 2019 Thenoveltyof my thesisisto add to the academic debate introducedby DeMiguel, Garlappi, and Uppal (2009) anattemptto answer the question whetheroptimized portfolio strategies consistently outperform the naïve-diversification strategy. Earlier academic studiesthat have tried to defend the optimized portfolios strategies against the naïve-diversification strategyareKritzman, Page & Turkington (2010) and C.Kirby and B. Ostdiek (2010).But there are also some weaknesses by these studies that the datasets provided by Kenneth French and the performance is measured by means of the Sharpe Ratio. The study by Zakamulin (2017) aim…