Click on the title to access a PDF of the article.
| 1. |
Optimal and Investable Portfolios Optimal portfolios typically include inconvenient and insignificant asset weights, make for impractical investment. This article introduces some of NFA’s compute-efficient solutions for finding an investable portfolio from the optimal portfolio.
Authors: Richard O. Michaud & Robert O. Michaud.
Publication: June 2003 Newsletter. |
| 2. |
A New View of Mean Variance
This article discusses five methods other than mean variance optimization for defining portfolio optimality: non-variance risk measures, utility function optimization, multi-period objectives, Monte Carlo financial planning, or linear programming.
Author: Richard O. Michaud.
Publication: Financial Planning Magazine. November 1, 1998.
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| 3. |
The Markowitz Optimization Enigma: Is Optimized Optimal?
The major problem with mean variance optimization is its tendency to maximize the effects of errors in the input assumptions. Unconstrained mean variance optimization can yield results that are inferior to those of simple equal-weighting schemes.
Author: Richard O. Michaud.
Publication: Financial Analysts Journal. January/February 1989. |
See also Optimization Implications.
