​​​Sharp Sensitivity Bounds for Markowitz Portfolio Optimization

Louie John Vallejo, Elfred John Abacan and Margarita Debuque-Gonzales
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Louie John Vallejo: Bangko Sentral ng Pilipinas
Elfred John Abacan: Bangko Sentral ng Pilipinas
Margarita Debuque-Gonzales: Bangko Sentral ng Pilipinas

No 202609, BSP Discussion Paper Series from Bangko Sentral ng Pilipinas

Abstract: We study the sensitivity of Markowitz-optimal portfolio weights to perturbations in expected returns.

JEL-codes: C58 C61 C65 G11 G17 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2026-09
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Published as BSP Discussion paper No. 2026-08, October 2026

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Persistent link: https://EconPapers.repec.org/RePEc:bhd:dpaper:202609

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