Portfolio rebalancing: comparing naive and classical strategies

Abstract

This thesis describes and analyze critically some financial portfolio models, in partcular the 1/N model, the Mean-Variance optimization model and the Minimum Variance model. To asses their performances , it has been replicated the experiment proposed in the article "Optimal versus naive diversification: how inefficient is the 1/N portfolio startegy?" written by Victor DeMiguel,Lorenzo Garlappi and Raman Uppal, with a different criteria of the estimation window used in order to evaluate the performances of the three different strategies .