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

Vijay K. Chopra and William T. Ziemba

Chapter 18 in The Kelly Capital Growth Investment Criterion:Theory and Practice, 2011, pp 249-257 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] and Ziemba & Vickson [1975]. Bawa, Brown & Klein [1979] and Michaud [1989] review some of its problems…

Keywords: Kelly Criterion; Dynamic Investment Analysis; Capital Growth Theory; Sports Betting; Hedge Fund Strategies; Speculative Investing; Fortune 's Formula (search for similar items in EconPapers)
Date: 2011
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