Robust Portfolio Selection
University of Geneva - HEC
August 17, 2000
The Markowitz (1959) mean-variance efficient frontier is the standard theoretical model for normative investment behaviour. It is still in practice the method of choice for optimal portfolio construction although among practitioners it has nearly lost its character of 'optimal' tool. Indeed it is often considered not worthwhile, not because of its mathematical complexity, but because it often leads to financially irrelevant optimal portfolios.
Number of Pages in PDF File: 26working papers series
Date posted: February 19, 2011
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