Fuhrer, Adrian; Hock, Thorsten - In: Credit and capital markets : Kredit und Kapital 57 (2024) 1/4, pp. 157-183
Deriving an optimal asset allocation hinges crucially on the quality of inputs used in the optimization. If the vector of expected returns and the covariance matrix are known with certainty, mean-variance optimization produces optimal portfolios. If, however, these parameters are estimated with...