Out-of-Sample Performance of Norm-Constrained Portfolios

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2021
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This paper extends the academic research around the Norm-Constrained Portfolio Strategies introduced by DeMiguel et al. in 2009 in terms of out-of-sample performance evaluation on the German Stock Market (DAX) for the years 2003 – 2020. Therefore, four different variations of the Norm-Constrained Portfolios are used that are: 1) 1-Norm Constrained Portfolio calibrated for low variance, 2) 1-Norm Constrained Portfolio calibrated for maximum return, 3) 2-Norm Constrained Portfolio calibrated for low variance, and 4) 2-Norm Constrained Portfolio calibrated for maximum portfolio return. A rolling window approach is applied to evaluate out-of-sample performance. Thereby Return, Variance, and Sharpe Ratio are taken as performance measurements. Empirical results show that the 1-Norm Constrained Portfolio calibrated for low variance is able to provide a significantly lower variance than the DAX given same return. However, this result may be viewed with a grain of salt since the corresponding Sharpe Ratio is not superior as it should be compared to the DAX’ one. Hence the result may suffer from a calculation error which I was not able to locate.

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330 Wirtschaft
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Out-of-Sample Performance, German Stock Market, DAX, Norm-Constrained Portfolio, portfolio management, asset management, investment management, Finance, portfolio strategy, Stock Market Analysis, DAX Index, Investor Behavior, Risk Management, Market Volatility, Financial Crisis, Empirical Research, Portfolio Optimization, Long-Term Investment, Financial Modeling
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ISO 690HAUDEK, Marlon, 2021. Out-of-Sample Performance of Norm-Constrained Portfolios [Bachelor thesis]. Konstanz: Universität Konstanz
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@mastersthesis{Haudek2021Outof-67805,
  year={2021},
  title={Out-of-Sample Performance of Norm-Constrained Portfolios},
  address={Konstanz},
  school={Universität Konstanz},
  author={Haudek, Marlon}
}
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Konstanz, Universität Konstanz, Bachelorarbeit, 2021
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