DeMiguel, Victor; Garlappi, Lorenzo; Uppal, Raman - C.E.P.R. Discussion Papers - 2005
several static and dynamic models of optimal asset-allocation for ten datasets. We devote particular attention to models the … literature has proposed to account for estimation and model error. We find that the 1/N asset-allocation rule typically has a … higher out-of-sample Sharpe ratio, a higher certainty-equivalent return, and a lower turnover than optimal asset allocation …