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

Vijay K. Chopra and William T. Ziemba

Chapter 2 in Great Investment Ideas, 2016, pp 15-24 from World Scientific Publishing Co. Pte. Ltd.

Abstract: There is considerable literature on the strengths and limitations of meanvariance analysis. The basic theory and extensions of MV analysis are discussed in Markowitz (1987) and Ziemba and Vickson (1975). Bawa, Brown and Klein (1979) and Michaud (1989) review some of its problems…

Keywords: Investment Management; Portfolio Theory and Practice; Great Investors; Stock Market Anomalies; Evaluation Theory; Portfolio Performance; Stock Market Performance (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2016
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