The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
Abstract
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...
Paper Details
Title
The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
Published Date
Jan 31, 1993
Volume
19
Issue
2
Pages
6 - 11
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Notes
History