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- W3022177844 abstract "We investigate whether sophisticated volatility estimation improves the out-of-sample performance of mean-variance portfolio strategies relative to the naive 1/N strategy. The portfolio strategies rely solely upon second moments. Using a diverse group of econometric and portfolio models across multiple datasets, we show that a majority of models achieve significantly higher Sharpe ratios and lower portfolio volatility relative to the naive rule, even after controlling for turnover costs. Our results suggest that there are benefits to employing more sophisticated econometric models than the sample covariance matrix, and that mean-variance strategies often outperform the naive portfolio across multiple datasets and assessment criteria." @default.
- W3022177844 created "2020-05-13" @default.
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- W3022177844 date "2020-05-07" @default.
- W3022177844 modified "2023-09-23" @default.
- W3022177844 title "Can Volatility Solve the Naïve Diversification Puzzle" @default.
- W3022177844 hasPublicationYear "2020" @default.
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