Original paper
End the Charade: Replacing the Efficient Frontier with the Efficient Range
Abstract
Gaps between optimized portfolios produced by mean-variance optimizers and portfolios that investors prefer come from two sources. One is imprecise estimates of mean-variance parameters. The other is investor preferences beyond high expected returns and low risk. We offer the mean-variance ‘efficient range’ as the location of all mean-variance efficient portfolios that acknowledge imprecise estimates and accommodate investor...
Paper Details
Title
End the Charade: Replacing the Efficient Frontier with the Efficient Range
Published Date
Jan 1, 2013
Journal
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Notes
History