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The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
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1993
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Large DeviationsOptimal Portfolio ChoiceMean-variance AnalysisPortfolio ManagementStatistical AveragingMathematical StatisticPortfolio ChoiceBasic TheoryAsset PricingManagementStatisticsEconomicsPortfolio OptimizationStatistical SciencePortfolio AllocationFinanceDescriptive StatisticPortfolio SelectionBusinessStatistical InferenceIntertemporal Portfolio ChoiceMv Analysis
There is considerable literature on the strengths and limitations of mean-variance analysis. The basic theory and extensions of MV analysis are discussed in Markowitz [1987] and Ziemba & Vickson [1975]. Bawa, Brown & Klein [1979] and Michaud [1989] review some of its problems…