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Publikováno v:
European Journal of Operational Research. 301:694-707
Markowitz optimisation is well known to work poorly in practice, but it has not been clear why this happens. We show both theoretically and empirically that Markowitz optimisation is likely to fail badly, even with normally-distributed data, with no
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ca4579c0df8e489f6d0da2449a447ee0
https://doi.org/10.1016/j.ejor.2021.11.036
https://doi.org/10.1016/j.ejor.2021.11.036
