been generated to enhance the portfolio performance, for instance the resampled efficiency of Michaud (1998). We compare … the out-ofsample performance of traditional Mean-Variance optimization by Markowitz (1952) with Michaud's resampled … efficiency in a comprehensive simulation study for a large number of relevant estimators appearing in the literature. In this …

been generated to enhance the portfolio performance, for instance the resampled efficiency of Michaud (1998). We compare … the out-ofsample performance of traditional Mean-Variance optimization by Markowitz (1952) with Michaud's resampled … efficiency in a comprehensive simulation study for a large number of relevant estimators appearing in the literature. In this …

moments of financial assets return distributions. Specifically, the first four moments are examined. The Resampled Efficiency …