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- W1589264675 abstract "Practitioners have long struggled with the sampling error inherent in estimating means, variances and co-variances of returns used in mean-variance optimizers. Accordingly, it has been argued that the efficient frontier is really an efficient fuzzy region of groups of statistically equivalent portfolios. The implication of this view is that it can be difficult to distinguish between alternative strategic asset allocation benchmarks and to determine whether or not rebalancing portfolios or making tactical asset allocation tilts is statistically meaningful. This paper develops more powerful tests to show that small changes in asset allocation weights are often statistically significant, challenging those views." @default.
- W1589264675 created "2016-06-24" @default.
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- W1589264675 date "2005-01-01" @default.
- W1589264675 modified "2023-10-16" @default.
- W1589264675 title "Strategic and Tactical Asset Allocation in the Presence of Sampling Error" @default.
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- W1589264675 doi "https://doi.org/10.2139/ssrn.714021" @default.
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