What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?
One of the main problems when trying to apply mean-variance portfolio optimization in practice is its high input sensitivity. As can be seen in (Chopra, 1993) using historical values to estimate ...
My question: How can I compare the Resampled Frontier (REF) to the standard MVO frontier when I have been provided with $\mu$, $\Omega$, and don't have access to true future data to test real out of ...
I have seen the following formula for the tangency portfolio in Markowitz portfolio theory but couldn't find a reference for derivation, and failed to derive myself. If expected excess returns of $N$ ...
Some time ago Almgren and Chriss proposed a method for portfolio optimization based on sorting criteria such as $r_1 > r_2 >... > r_N$ instead of explicit expected returns: see portfolios ...
What are typical values for risk aversion parameters $\lambda$ used in mean-variance optimization? Please provide references. Just to be clear, I'm talking about the $\lambda$ in $U(w) = w'\mu - ...
How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
Konno proposed a LP method for portfolio optimization using the Mean Absolute Deviation (MAD)