A note on the sensitivity of the strategic asset allocation problem
The Markowitz mean–variance portfolio optimization problem is a quadratic programming problem whose first-order conditions require the solution of a linear system. It is well known that the optimal portfolio weights are sensitive to parameter estimates, particularly the mean return vector. This has...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2015-12-01
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| Series: | Operations Research Perspectives |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214716015000147 |