TRINITY COLLEGE Global Portfolio Selection: The Case of an Investor with Mean-Variance Preferences
نویسندگان
چکیده
The aim of this paper is to assess the performance of the Markowitz meanvariance framework over a thirty year time frame and address the question of; How should an investor optimally allocate their capital?. The effect of risk reduction by incorporating a Bayes-Stein estimator is also investigated. The performance of the framework is concluded by the out-ofsample performance of the mean-variance portfolios as well as 4 other key portfolios. The paper also describes an application implemented to perform a similar analysis on any data set and to view the results graphically.
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