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

SCHOLARLY PAPERS

1

DOWNLOADS

380

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0

Scholarly Papers (1)

1.

In Defence of Portfolio Optimisation What If We Can Forecast?

Number of pages: 32 Posted: 17 May 2019
David J Allen, David J Allen, Colin Lizieri and Stephen E. Satchell
University of Technology, SydneyPlato Investment Management, University of Cambridge - Department of Land Economy and University of Cambridge - Faculty of Economics and Politics
Downloads 380 (167,376)

Abstract:

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