DOES OPTIMIZED PORTFOLIOS ADD ANY VALUE? : A empirical study conducted to examine the performance of various optimized portfolios using the naive div…

2019

Master's thesis Business Administration BE501 - University of Agder 2019 DeMiguel, Garlappi, and Uppal (2009)conducted a study where they demonstrated that none of several optimized portfolios consistently outperform the naive allocation rule, initiating a heated debate in the academic community. Subsequently,severalresearchers conductedstudies with the aimto defendthe optimized strategies.The common problemwiththesestudies is that they do not control if superior performance appeardue to mean-variance efficiency or due to exposure to established factor premiums.We conductedanempirical study, examining the performance of six optimized strategies, across 13 portfolios.We testifthe performance…