Optimizing an Error

Coauthors: Giovanna Boi, Riccardo Grassi, Alessandra Palmieri.

We assess the impact of sampling errors on mean-variance portfolios. Two alternative solutions (shrinkage and resampling) to the resulting issue are proposed. An out-ofsample comparison of the two methods is also presented.

Files

  1. Excel File with the Return Series
  2. Matlab files for resampling the efficient frontier