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Global Portfolio Optimization
BlackFischer,LittermanRobert +1 more
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(1992).Abstract:
(1992). Global Portfolio Optimization. Financial Analysts Journal: Vol. 48, No. 5, pp. 28-43.read more
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Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?
TL;DR: In this article, the authors evaluate the out-of-sample performance of the sample-based mean-variance model, and its extensions designed to reduce estimation error, relative to the naive 1-N portfolio.
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Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
Ravi Jagannathan,Tongshu Ma +1 more
TL;DR: In this paper, the authors show that constraining portfolio weights to be nonnegative is equivalent to using the sample covariance matrix after reducing its large elements and then form the optimal portfolio without any restrictions on portfolio weights.
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Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
Ravi Jagannathan,Tongshu Ma +1 more
TL;DR: In this paper, the authors explain why constraining portfolio weights to be nonnegative can reduce the risk in estimated optimal portfolios even when the constraints are wrong, and they reconcile this apparent contradiction.
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Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
TL;DR: The problem of computing and optimizing the worst-case VaR and various other partial information on the distribution, including uncertainty in factor models, support constraints, and relative entropy information can be cast as semidefinite programs.
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
TL;DR: In this paper, the authors developed a model for an investor with multiple priors and aversion to ambiguity, and they characterized the multiple prior by a "confidence interval" around the estimated expected returns.