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The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice

In: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE

Author

Listed:
  • Vijay K. Chopra
  • William T. Ziemba

Abstract

There is considerable literature on the strengths and limitations of mean-variance analysis. The basic theory and extensions of MV analysis are discussed in Markowitz [1987] and Ziemba & Vickson [1975]. Bawa, Brown & Klein [1979] and Michaud [1989] review some of its problems…

Suggested Citation

  • Vijay K. Chopra & William T. Ziemba, 2011. "The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 18, pages 249-257, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814293501_0018
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    Cited by:

    1. Wang, Xin & Fagerholt, Kjetil & Wallace, Stein W., 2018. "Planning for charters: A stochastic maritime fleet composition and deployment problem," Omega, Elsevier, vol. 79(C), pages 54-66.
    2. Fabian Ackermann & Walt Pohl & Karl Schmedders, 2017. "Optimal and Naive Diversification in Currency Markets," Management Science, INFORMS, vol. 63(10), pages 3347-3360, October.

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