David J Allen

Plato Investment Management

Level 14, 167 Macquarie St

Sydney, New South Wales 2066

Australia

University of Technology, Sydney

15 Broadway, Ultimo

PO Box 123

Sydney, NSW 2007

Australia

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1.

In Defence of Portfolio Optimisation What If We Can Forecast?

Number of pages: 32 Posted: 17 May 2019
David J Allen, Colin Lizieri and Stephen E. Satchell
Plato Investment Management, University of Cambridge - Department of Land Economy and University of Cambridge - Faculty of Economics and Politics
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Abstract:

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portfolio optimisation, forecasting ability, asset allocation, mean variance, estimation error