SSRN Author: Heiko OpferHeiko Opfer SSRN Content
http://www.ssrn.com/author=562894
http://www.ssrn.com/rss/en-usThu, 16 Jul 2015 10:53:09 GMTeditor@ssrn.com (Editor)Thu, 16 Jul 2015 10:53:09 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification ApproachesThe Black-Litterman model aims to enhance asset allocation decisions by overcoming the problems of mean-variance portfolio optimization. We propose a sample based version of the Black-Litterman model and implement it on a multi-asset portfolio consisting of global stocks, bonds, and commodity indices, covering the period from January 1993 to December 2011. We test its out-of-sample performance relative to other asset allocation models and find that Black-Litterman optimized portfolios significantly outperform naïve-diversified portfolios (1/N-rule and strategic weights), and consistently perform better than mean-variance, Bayes-Stein, and minimum-variance strategies in terms of out-of-sample Sharpe ratios, even after controlling for different levels of risk aversion, investment constraints, and transaction costs. The BL model generates portfolios with lower risk, less extreme asset allocations, and higher diversification across asset classes. Sensitivity analyses indicate that these ...
http://www.ssrn.com/abstract=2081636
http://www.ssrn.com/1356324.htmlSat, 06 Dec 2014 05:29:38 GMTREVISION: Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification ApproachesThe Black-Litterman model aims to enhance asset allocation decisions by overcoming the problems of mean-variance portfolio optimization. We propose a sample based version of the Black-Litterman model and implement it on a multi-asset portfolio consisting of global stocks, bonds, and commodity indices, covering the period from January 1993 to December 2011. We test its out-of-sample performance relative to other asset allocation models and find that Black-Litterman optimized portfolios significantly outperform naïve-diversified portfolios (1/N-rule and strategic weights), and consistently perform better than mean-variance, Bayes-Stein, and minimum-variance strategies in terms of out-of-sample Sharpe ratios, even after controlling for different levels of risk aversion, investment constraints, and transaction costs. The BL model generates portfolios with lower risk, less extreme asset allocations, and higher diversification across asset classes. Sensitivity analyses indicate that these ...
http://www.ssrn.com/abstract=2081636
http://www.ssrn.com/1345611.htmlThu, 23 Oct 2014 17:04:22 GMTREVISION: Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification ApproachesThe Black-Litterman model aims to enhance asset allocation decisions by overcoming the problems of mean-variance portfolio optimization. We propose a sample based version of the Black-Litterman model and implement it on a multi-asset portfolio consisting of global stocks, bonds, and commodity indices, covering the period from January 1993 to December 2011. We test its out-of-sample performance relative to other asset allocation models and find that Black-Litterman optimized portfolios significantly outperform naïve-diversified portfolios (1/N-rule and strategic weights), and consistently perform better than mean-variance, Bayes-Stein, and minimum-variance strategies in terms of out-of-sample Sharpe ratios, even after controlling for different levels of risk aversion, investment constraints, and transaction costs. The BL model generates portfolios with lower risk, less extreme asset allocations, and higher diversification across asset classes. Sensitivity analyses indicate that these ...
http://www.ssrn.com/abstract=2081636
http://www.ssrn.com/1325160.htmlThu, 07 Aug 2014 13:30:17 GMTREVISION: Diversifying Risk ParityStriving for maximum diversification we follow Meucci (2009) in measuring and managing a multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the uncorrelated risk sources embedded in the underlying portfolio assets. Our paper characterizes the mechanics and properties of this diversified risk parity strategy. Moreover, we explore the risk and diversification characteristics of traditional risk-based asset allocation techniques like 1/N, minimum-variance, or risk parity and demonstrate the diversified risk parity strategy to be quite meaningful when benchmarked against these alternatives.
http://www.ssrn.com/abstract=1974446
http://www.ssrn.com/1321307.htmlWed, 23 Jul 2014 14:35:59 GMT