Portfolio Resampling: Review and Critique

Posted: 30 Apr 2003

See all articles by Bernd Scherer

Bernd Scherer

EDHEC Business School - Department of Economics & Finance


A well-understood fact of asset allocation is that the traditional portfolio optimization algorithm is too powerful for the quality of the inputs. Recently, a new concept called "resampled efficiency" has been introduced into the asset management world to deal with estimation error. The objective of this article is to describe this new technology, put it into the context of established procedures, and point to some peculiarities of the approach. Even though portfolio resampling is a thoughtful heuristic, some features make it difficult to interpret by the inexperienced.

Keywords: Portfolio Management: asset allocation, Portfolio Management: portfolio construction, rebalancing, and implementation

Suggested Citation

Scherer, Bernd, Portfolio Resampling: Review and Critique. Available at SSRN: https://ssrn.com/abstract=377503

Bernd Scherer (Contact Author)

EDHEC Business School - Department of Economics & Finance ( email )


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