摘要：In this paper we assess the out-of-sample performance of two alternative quantitative portfolio optimization techniques - mean-variance and minimum variance optimization – and compare their performance with respect to a naive 1/N (or equally-weighted) portfolio and also to the market portfolio given by the Ibovespa. We focus on short selling-constrained portfolios and consider alternative estimators for the covariance matrices: sample covariance matrix, RiskMetrics, and three covariance estimators proposed by Ledoit and Wolf (2003), Ledoit and Wolf (2004a) and Ledoit and Wolf (2004b). Taking into account alternative portfolio re-balancing frequencies, we compute out-of-sample performance statistics which indicate that the quantitative approaches delivered improved results in terms of lower portfolio volatility and better risk-adjusted returns. Moreover, the use of more sophisticated estimators for the covariance matrix generated optimal portfolios with lower turnover over time.
其他摘要：In this paper we assess the out-of-sample performance of two alternative quantitative portfolio optimization techniques - mean-variance and minimum variance optimization – and compare their performance with respect to a naive 1/N (or equally-weighted) portfolio and also to the market portfolio given by the Ibovespa. We focus on short selling-constrained portfolios and consider alternative estimators for the covariance matrices: sample covariance matrix, RiskMetrics, and three covariance estimators proposed by Ledoit and Wolf (2003), Ledoit and Wolf (2004a) and Ledoit and Wolf (2004b). Taking into account alternative portfolio re-balancing frequencies, we compute out-of-sample performance statistics which indicate that the quantitative approaches delivered improved results in terms of lower portfolio volatility and better risk-adjusted returns. Moreover, the use of more sophisticated estimators for the covariance matrix generated optimal portfolios with lower turnover over time.
关键词：Optimization;estimation error;volatility;Otimização;erro de estimação;volatilidade
