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Robust Portfolio Selection

Maria-Pia Victoria-Feser

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: 26

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Date posted: February 19, 2011  

Suggested Citation

Victoria-Feser, Maria-Pia, Robust Portfolio Selection (August 17, 2000). Available at SSRN: http://ssrn.com/abstract=1763322 or http://dx.doi.org/10.2139/ssrn.1763322

Contact Information

Maria-Pia Victoria-Feser (Contact Author)
University of Geneva - HEC ( email )
40 Boulevard du Pont d'Arve
Geneva 4, 1211
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