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

Vijay K. Chopra and William T. Ziemba

Chapter 21 in Handbook of the Fundamentals of Financial Decision Making:In 2 Parts, 2013, pp 365-373 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: Financial Decision Making; Asset Pricing; Prospect Theory; Utility Theory; Risk Aversion; Static Portfolio Theory; Stochastic Dominance; Dynamic Modeling; Dynamic Portfolio Theory; Tactical Asset Allocation; Kelly Strategy; Capital Growth (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (15)

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