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DTSTART:20260329T010000
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DTSTART;TZID=Europe/Helsinki:20260305T100000
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SUMMARY:Nathan LASSANCE (UCL- Louvain) "The Distribution of Out-of-Sample Performance of Estimated Portfolios"
DESCRIPTION:Finance-Insurance\nTime: 10.00 am\nDate:05th of March 2026\nRoom 3001 \nNathan LASSANCE (UCL- Louvain) “The Distribution of Out-of-Sample Performance of Estimated Portfolios” \nAbstract : We derive a parsimonious stochastic representation for the joint distribution of the out-of-sample mean and variance of a large class of portfolio rules that combines the sample mean-variance optimal portfolio with the sample global minimum-variance portfolio. Such a representation enables us to obtain the distributions and moments\, asymptotically and in finite samples\, of various out-of-sample performance measures\, e.g.\, return\, utility\, and Sharpe ratio. These results offer a comprehensive analytical toolkit that researchers can use to evaluate the out-of-sample performance of existing portfolio rules and to develop new portfolio rules in the future. We illustrate the potential use of these results by constructing and evaluating optimal two-fund rules under different out-of-sample performance criteria \nOrganizers:  Jean-Michel ZAKOIAN & Christian FRANCQ \n  \n
URL:https://crest.science/event/nathan-lassance-ucl-louvain-the-distribution-of-out-of-sample-performance-of-estimated-portfolios/
CATEGORIES:Finance-Insurance,Seminars
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