{"product_id":"improving-the-performance-of-investing-strategies-von-xavier-saynac","title":"Improving the performance of investing strategies","description":"\u003cp\u003eIn this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve ¿1\/n portfoliö, that is investing equally on each of n assets. A similar research was already conducted by Victor DeMiguel, Lorenzo Garlappi, and Raman Uppal in the paper ¿Optimal versus Naive Diversification: How Inefficient Is the 1\/n Portfolio Strategy?¿. Nevertheless, we show that using a risk calibration and different test statistic to measure portfolio performance, we reach very different conclusions. We indeed show that Markowitz does outperform the naïve 1\/n portfolio and we present a method to maximize the out-of-sample performance of the Markowitz portfolio. We also show that when we add some maximum rebalancing constraints on the asset weights, the Markowitz model still outperforms the 1\/n portfolio, and in addition becomes very robust. Finally, we apply this constrained mean-variance method to show that any portfolio can be improved upon.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783845404837\"\u003e\u003ch3\u003eUtilizing a mean-constrained variance approach to improve the performance of any given investing strategy\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783845404837","offer_id":39497206169693,"sku":"9783845404837","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/f70ad5b7-4030-4579-9c1e-c56d287db87a.jpg?v=1757911620","url":"https:\/\/shop.autorenwelt.de\/products\/improving-the-performance-of-investing-strategies-von-xavier-saynac","provider":"Autorenwelt Shop","version":"1.0","type":"link"}