Reproducible code for the paper by Oliveira, Trucíos, and Valls (2024). The script 01_Empirical_Application_IBRX.R replicates the tables in the paper and 02_out_of_sample_tests_SD.R performs the bootstrap test of Ledoit and Wolf (2011) while 03_out_of_sample_tests_SR.R performs the bootstrap test of Ledoit and Wold (2008). Additional results (for other values of Results.
The functions in the covShrinkage paste were obtained from https://github.com/MikeWolf007/covShrinkage.
Due to Economatica license, the data provided here cannot be used elsewhere and is made available only for reproducibility purposes.
- Ledoit, O., & Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance, 15(5), 850-859.
- Ledoit, O., & Wolf, M. (2011). Robust performances hypothesis testing with the variance. Wilmott, 2011(55), 86-89.
- Oliveira, A., Trucíos, C., & Valls, P. (2024). Portfolio resampling in the Brazilian stock market: Can it outperforms Markowitz optimization?. Brazlian Review of Finance.
Obs: After conducting the empirical application, we decided to name the methods Linear Shrinkage 1, 2, 3, and 4 based on the dates they were published. Thus:
Text Files in Results |
Paper |
|---|---|
| ls_0 | Sample covariance |
| ls_1 | Linear Shrinkage 4 |
| ls_2 | Linear Shrinkage 1 |
| ls_3 | Linear Shrinkage 3 |
| ls_4 | Linear Shrinkage 2 |