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| Tekijä: | Markowitz, H. M. Markowitz, H. M. |
| Otsikko: | Single-Period Mean-Variance Analysis in a Changing World |
| Lehti: | Financial Analysts' Journal
2003 : MAR-APR, VOL. 59:2, p. 30-44 |
| Asiasana: | PORTFOLIO MANAGEMENT ASSETS ALLOCATION INVESTMENT ANALYSIS |
| Kieli: | eng |
| Tiivistelmä: | Ideally, financial analysts would like to solve investment problems involving large universes of securities, many time periods, asset illiquidities, and changing probability distributions. Currently, such problems are well beyond state-of-the-art optimization. The authors consider in this article how much we would lose if we used one or another heuristic to solve investment problems. The authors also compare the expected payoffs of the optimum solution and various heuristics for a simple dynamic model for which the optimum solution can be solved. The heuristics considered can be scaled to much larger problems. The simplified model the authors analyze consists of two assets (stock and cash) and discrete time periods (months). |
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