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- W2955236875 abstract "We challenge the academic consensus that estimation error makes mean–variance portfolio strategies inferior to passive equal-weighted approaches. We demonstrate analytically, via simulation, and empirically that investors endowed with modest forecasting ability benefit substantially from a mean–variance approach. An investor with some forecasting ability improves expected utility by increasing the number of assets considered. We frame our study realistically using budget constraints, transaction costs, and out-of-sample testing for a wide range of investments. We derive practical decision rules to choose between passive and mean–variance optimization and generate results consistent with much financial market practice and the original Markowitz formulation." @default.
- W2955236875 created "2019-07-12" @default.
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- W2955236875 date "2019-06-06" @default.
- W2955236875 modified "2023-09-23" @default.
- W2955236875 title "In Defense of Portfolio Optimization: What If We Can Forecast?" @default.
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- W2955236875 doi "https://doi.org/10.1080/0015198x.2019.1600958" @default.
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