How good is the out-of-sample performance of optimized portfolios : an empirical comparison of optimal versus naive diversification

2014

Masteroppgave i økonomi og administrasjon – Universitetet i Agder 2014 Preceding research is inconclusive on the empirical performance of optimized portfolios. In this thesis I evaluate the out-of-sample performance of a minimum-variance portfolio, a meanvariance portfolio, an equally-weighted portfolio, and a value-weighted market portfolio across eight U.S. datasets and seven different out-of-sample time periods. This is done in order to determine if any of the asset-allocation strategies deliver statistically significantly, higher Sharpe ratios compared to the other implemented portfolio models. Although the minimumvariance portfolio is persistent in delivering the highest out-of-sample …