Being Naive About Naive Diversification: Can Investment Theory Be Consistently Useful?
The modern portfolio theory pioneered by Markowitz (1952) is widely used in practice and taught in MBA texts. DeMiguel, Garlappi and Uppal (2007), however, show that, due to estimation errors, existing theory-based portfolio strategies are not as good as we once thought, and the estimation window ne...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2008
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/1106 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2105/viewcontent/TuJun2008EFA.pdf |
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| 機構: | Singapore Management University |
| 語言: | English |