This paper investigates the sensitivity of mean-variance(MV)-efficient portfolios to changes
in the means of individual assets. When only a budget constraint is imposed on the …

This paper applies the multi‐period investment model to a universe of international securities
on the basis of the simple probability assessment approach. Our principal findings are: 1) …

This paper shows how to perform sensitivity analysis for Mean-Variance (MV) portfolio
problems using a general form of parametric quadratic programming. The analysis allows an …

… Best and Grauer (1991b) showed that the bounds are derived from the definitions of hG and
… By imposing nonnegativity constraints on (16), Best and Grauer (1991b) provide estimates …

This paper compares two approximation schemes for calculating the optimal portfolios in
the discrete-time dynamic investment model, specifically, the mean-variance (MV) and the …

In this paper we develop the efficient set mathematics for the case where mean-variance
portfolio problems are subject to general linear constraints. We derive closed-form expressions …

The discrete-time dynamic investment model, using only historical data in various asset-allocation
settings, often produces significant abnormal returns. However, the model does not …

We examine prospect theory portfolios in asset allocation settings that include riskfree lending
and borrowing, subject to margin constraints, and short sales restrictions on risky assets. …

Grouping does not produce a wide range of betas. Consequently, cross-sectional tests of the
CAPM are bound to lack power. This paper provides a simple way to alleviate the problem …

This paper shows that all the efficient set mathematics for mean-variance (MV) portfolio
problems and all the analytics of sensitivity analysis for MV portfolio problems follow from a …