Tag: mean-variance optimization
A robust portfolio is better than an optimal one. Mitigating the risk of incorrect capital market assumptions is important in mean variance optimization.
Here is a method to see if the implied returns on assets from strategic allocations in the mean variance optimization framework agree with your beliefs.
Optimal portfolios can underperform more naive constructions due to parameter uncertainty and instability over time.
"Big data" can lead to very complicated models that are prone to overfitting. Simply knowing what we don't know can be much safer than thinking we know.
Directionally Right and Precisely Wrong
By Corey Hoffstein
On November 19, 2018