Harry Markowitz’s mean-variance model for portfolio choice posits a linear relationship between the return of a portfolio and the returns of its component securities. This linear relationship does not hold in an ex post setting when monthly or quarterly returns are used. 1 The Standard Portfolio Selection Model Harry Markowitz begins Mean-Variance Analysis in Portfolio Choice and Capital Market...

Portfolio allocation theory has been heavily influenced by a major contribution of Harry Markowitz in the early fifties: the mean-variance approach. While there has been a continuous line of works in on-line learning portfolios over the past decades, very few works have really tried to cope with Markowitz model. A major drawback of the mean-variance approach is that it is approximation-free onl...

Recent empirical studies show that the estimated Markowitz mean-variance portfolios oftentimes perform rather poorly when there are more than several assets in the investment universe. In this article, we argue that such disappointing performance can be largely attributed to the estimation error incurred in sample mean-variance portfolios, and therefore could be improved by utilizing more effic...

Despite having become firmly established as one of the major cornerstone principles of modern finance, traditional Markowitz mean-variance analysis has, nevertheless, failed to gain widespread acceptance as a practical tool for equity management. The Markowitz optimization enigma essentially centers on the severe estimation risk associated with the input parameters, as well as the resultant fin...

The Markowitz model for single period portfolio optimization quantifies the problem by means of only two criteria: the mean, representing the expected outcome, and the risk, a scalar measure of the variability of outcomes. The classical Markowitz model uses the variance as the risk measure, thus resulting in a quadratic optimization problem. Following Sharpe’s work on linear approximation to th...

Asset allocation among diverse financial markets is essential for investors especially under situations such as the financial crisis of 2008. Portfolio optimization is the most developed method to examine the optimal decision for asset allocation. We employ the hidden Markov model to identify regimes in varied financial markets; a regime switching model gives multiple distributions and this inf...

Keywords: Survey LP computable mean-risk and mean-safety models Real features Transaction costs Exact and heuristic algorithms a b s t r a c t Markowitz formulated the portfolio optimization problem through two criteria: the expected return and the risk, as a measure of the variability of the return. The classical Markowitz model uses the variance as the risk measure and is a quadratic programm...