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.
|Educations||MSc in Accounting, Strategy and Control, (Graduate Programme) Final ThesisMSc in Finance and Strategic Management, (Graduate Programme) Final Thesis|
|Number of pages||76|
|Supervisors||Linda Sandris Larsen|