Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?
We evaluate the out-of-sample performance of the sample-based mean-variance model,
and its extensions designed to reduce estimation error, relative to the naive 1/N portfolio. Of …
and its extensions designed to reduce estimation error, relative to the naive 1/N portfolio. Of …
The Markowitz optimization enigma: Is 'optimized'optimal?
RO Michaud - Financial analysts journal, 1989 - Taylor & Francis
The indifference of many investment practitioners to mean-variance optimization technology,
despite its theoretical appeal, is understandable in many cases. The major problem with MV …
despite its theoretical appeal, is understandable in many cases. The major problem with MV …
Risk reduction in large portfolios: Why imposing the wrong constraints helps
R Jagannathan, T Ma - The journal of finance, 2003 - Wiley Online Library
Green and Hollifield (1992) argue that the presence of a dominant factor would result in
extreme negative weights in mean‐variance efficient portfolios even in the absence of …
extreme negative weights in mean‐variance efficient portfolios even in the absence of …
A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms
We provide a general framework for finding portfolios that perform well out-of-sample in the
presence of estimation error. This framework relies on solving the traditional minimum …
presence of estimation error. This framework relies on solving the traditional minimum …
Robust portfolio selection problems
D Goldfarb, G Iyengar - Mathematics of operations research, 2003 - pubsonline.informs.org
In this paper we show how to formulate and solve robust portfolio selection problems. The
objective of these robust formulations is to systematically combat the sensitivity of the …
objective of these robust formulations is to systematically combat the sensitivity of the …
[BOOK][B] Heuristics: The foundations of adaptive behavior.
How do people make decisions when time is limited, information unreliable, and the future
uncertain? Based on the work of Nobel laureate Herbert Simon and with the help of …
uncertain? Based on the work of Nobel laureate Herbert Simon and with the help of …
[BOOK][B] Efficient asset management: a practical guide to stock portfolio optimization and asset allocation
RO Michaud, RO Michaud - 2008 - books.google.com
In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail
to meet practical investment goals of marketability, usability, and performance, prompting …
to meet practical investment goals of marketability, usability, and performance, prompting …
Portfolio selection with parameter and model uncertainty: A multi-prior approach
L Garlappi, R Uppal, T Wang - The Review of Financial Studies, 2007 - academic.oup.com
We develop a model for an investor with multiple priors and aversion to ambiguity. We
characterize the multiple priors by a “confidence interval” around the estimated expected …
characterize the multiple priors by a “confidence interval” around the estimated expected …
On the out-of-sample importance of skewness and asymmetric dependence for asset allocation
AJ Patton - Journal of financial econometrics, 2004 - academic.oup.com
Recent studies in the empirical finance literature have reported evidence of two types of
asymmetries in the joint distribution of stock returns. The first is skewness in the distribution …
asymmetries in the joint distribution of stock returns. The first is skewness in the distribution …
[BOOK][B] Quantitative financial economics: stocks, bonds and foreign exchange
K Cuthbertson, D Nitzsche - 2005 - books.google.com
Quantitative Financial Economics Quantitative Financial Economics provides a
comprehensive introduction to models of economic behaviour in financial markets, focusing …
comprehensive introduction to models of economic behaviour in financial markets, focusing …