The Journal of Portfolio Management · 1993 · 1.2K citations · 0 references
BusinessEconomicsFinanceFinancial EconomicsInvestment ManagementPortfolio ManagementAsset AllocationInvestment TheoryPortfolio OptimizationPortfolio SelectionPortfolio TheoryVariance AnalysisAsset Allocation Under UncertaintyMarkowitz Portfolio TheoryMean-variance AnalysisMean-variance Portfolio SelectionOptimal Portfolio ChoiceOptimization Under Estimation ErrorPortfolio Choice TheoryPortfolio Selection Theory
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…