Main points:
- the history of random portfolios extends at least to Chicago 1965
- testing a fund versus a benchmark takes many years to get reasonable statistical power
- a benchmark will be easier to beat some years versus others
- peer groups depend on the fantasy that there is little noise in the rankings of the peers
- there are open probability questions about random portfolios
- random portfolios are sometimes used like the statistical bootstrap, sometimes like a random permutation test
Presented 2009 April at the R/Finance Conference
Kommentarer inaktiverade för Random Portfolios: Practice and Theory
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The email address patrick@burns-stat.com was out of action for a few hours today. It is back now.
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