An examination of resampled portfolio efficiency

Jonathan Fletcher, Joe Hillier

Research output: Contribution to journalArticlepeer-review

17 Citations (Scopus)


We examined the out-of-sample performance of using resampled portfolio efficiency, an approach proposed in 1998, in international asset allocation strategies for the period January 1983 to May 2000. For most models we used to estimate expected returns, using strategies based on resampled portfolio efficiency provided some benefits, in terms of improved Sharpe ratios and abnormal returns, over using traditional mean–variance strategies. We found little evidence, however, that active mean–variance strategies or resampled efficiency strategies would have generated significantly positive abnormal returns for the time period we considered.

Original languageEnglish
JournalFinancial Analysts Journal
Publication statusPublished - 1 Sep 2001


  • financial models
  • resampled efficiency strategies


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