Tag: MVO
A robust portfolio is better than an optimal one. Mitigating the risk of incorrect capital market assumptions is important in mean variance optimization.
Optimal portfolios can underperform more naive constructions due to parameter uncertainty and instability over time.
In this post, we develop a simple intuition for interpreting maximum Sharpe ratio portfolios for both correlated and uncorrelated assets.
The Risk in the Risk-Free Rate
By Nathan Faber
On December 10, 2018