The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice

Vijay K. Chopra and William T. Ziemba

Chapter 7 in Selected Works of William T Ziemba:A Memorial Volume, 2024, pp 117-122 from World Scientific Publishing Co. Pte. Ltd.

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] Ziemba and Vickson [1975]. Bawa, Brown, and Klein [1979] and Michaud [1989] review some of its problems…

Keywords: William Ziemba; Financial Planning Models; Racetrack Betting; Sports Analytics; Market Anomalies; Risk Factors (search for similar items in EconPapers)
JEL-codes: C44 C6 G11 G12 (search for similar items in EconPapers)
Date: 2024
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