PT - JOURNAL ARTICLE AU - Mark Kritzman TI - Are Optimizers Error Maximizers? AID - 10.3905/jpm.2006.644197 DP - 2006 Jul 31 TA - The Journal of Portfolio Management PG - 66--69 VI - 32 IP - 4 4099 - https://pm-research.com/content/32/4/66.short 4100 - https://pm-research.com/content/32/4/66.full AB - Small input errors to mean-variance optimizers often lead to large portfolio misallocations when assets are close substitutes for one another. In fact, when the assets are close substitutes, the return distribution of the presumed optimal portfolio is actually similar to the distribution of the truly optimal portfolio. Contrary to conventional wisdom, therefore, mean-variance optimizers usually turn out to be robust to small input errors when sensitivity is measured properly.TOPICS: Portfolio management/multi-asset allocation, risk management, analysis of individual factors/risk premia