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

Student thesis: Master thesis


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.

EducationsMSc in Accounting, Strategy and Control, (Graduate Programme) Final ThesisMSc in Finance and Strategic Management, (Graduate Programme) Final Thesis
Publication date2019
Number of pages76
SupervisorsLinda Sandris Larsen