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That's the way you apply. Usually you get the closest number of shares possible. However, if you use that strategy you are very likely to underperform the market. Check table 3 on this paper for the Out of sample performance of the Markowitz strategy. Over their sample the Sharpe Ratio is 0.07 whereas a simple naive strategy 1/N yielded 0.18.


Short Update on the specific way we have chosen: Have a risky and a safe portfolio, and shift assets over time into the safe one to protect liabilities. The safe portfolio is duration matched and holds Bunds and cash. The risky portfolio is multi asset class. Specific allocation is based on a constrained MV optimization on index level. This part is ...

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