An examination of resampled portfolio efficiency

We examined the out-of-sample performance of using resampled portfolio effi ciency, an approach proposed in 1998, in international asset allocation str ategies for the period January 1983 to May 2000. For most models we used to estimate expected returns, using strategies based oil resampled portfolio efficiency provided sonic 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 resample d efficiency strategies would have generated significantly positive abnorma l returns for the time period we considered.