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The Markowitz Optimization Enigma: Is Optimized Optimal? · Study

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ArticleThe Markowitz Optimization Enigma: Is Optimized Optimal?

Richard O. Michaud1989

Article1989

The Markowitz Optimization Enigma: Is Optimized Optimal?

Richard O. Michaud

79 citations·0/0 files stored·ICFA Continuing Education Series

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

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2012Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk 2014Doubly Regularized Portfolio with Risk Minimization 2004Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

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Year1989

Typearticle

Published1989-01-01

VenueICFA Continuing Education Series

ISSN-L1086-5055

Languageen

Citations79

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2469/cp.v1989.n4.6

openalex_workW4237693087

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