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

In: GREAT INVESTMENT IDEAS

Author

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

Abstract

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

Suggested Citation

  • Vijay K. Chopra & William T. Ziemba, 2016. "The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice," World Scientific Book Chapters, in: GREAT INVESTMENT IDEAS, chapter 2, pages 15-24, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813144385_0002
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    More about this item

    Keywords

    Investment Management; Portfolio Theory and Practice; Great Investors; Stock Market Anomalies; Evaluation Theory; Portfolio Performance; Stock Market Performance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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