Analysis of the Performance of the Equally Weighted Portfolio in Comparison to Optimal Resource Allocation Models: Study Before, During and After the Financial Crisis of 2008

Julia Lamamy & Chiara Marta Maria Bottasso

Studenteropgave: Kandidatafhandlinger


This thesis develops an empirical analysis aiming to evaluate the out-of-sample performance of the samplebased mean variance strategy, with its relevant extensions, and the multi prior approach developed byGarlappi, Uppal and Wang (2006). All optimal models are compared to the equally weighted portfolioaccording to different investment horizons: before, during and after the Financial Crisis of 2008. Of the eightmodels evaluated across three different data sets, most overperformed the 1/N naïve diversificationstrategy. The overperformance of the optimal models, relatively to the equally weighted portfolio, isespecially notable during the Financial Crisis of 2008, where they add value and offer better returns.

UddannelserCand.merc.asc Accounting, Strategy and Control, (Kandidatuddannelse) Afsluttende afhandlingCand.merc.fsm Finance and Strategic Management, (Kandidatuddannelse) Afsluttende afhandling
Antal sider76
VejledereLinda Sandris Larsen