Stocks, bonds and the investment horizon: a test of time diversification on the French market

Robust Asset Allocation for Long-Term Target-Based Investing

“…To provide more meaningful tests of the MV optimal strategy using historical data, we turn to a bootstrap resampling approach. This type of procedure has been applied in numerous prior studies to assess the performance of investment strategies; some relatively recent examples include Sanfilippo (2003), Ledoit and Wolf (2008), Annaert et al (2009), Bertrand and Prigent (2011), and Cogneau and Zakamouline (2013).…”

“…Excessive homogeneity across the bootstrap samples will lead to a standard deviation that is too low. 14 Various techniques have been suggested to alleviate these effects, such as randomly selecting the block sizes within each sample (Politis and Romano, 1994) and the matched block size method (Sanfilippo, 2003). Cogneau and Zakamouline (2013) conclude that any improvements obtained using these methods could be achieved by selecting the correct block size.…”

Performance evaluation of portfolio insurance strategies using stochastic dominance criteria

“…Block bootstrapping counters this problem (see e.g. Sanfilippo, 2003). First, we randomly draw a market (UK, US, Japan, Australia, or Canada) with replacement.…”

The Value of Stop Loss Strategies

“…We implement the BH, SP, and RF strategies on the return series starting on the selected dates. This sampling technique is similar to the block bootstrapping method used in Hansson and Persson (2000), Sanfilippo (2003), and Annaert, Van Osselaer and Verstraeta (2008). It allows us to generate simulated return series without distributional assumptions and keep the distribution of the simulated returns the same as the unknown distribution implied by the original data.…”