Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it

Mynbayeva, ElmiraLamb, John D.Zhao, Yuan2024-04-112024-04-112022-09-01Mynbayeva, E, Lamb, J D & Zhao, Y 2022, 'Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it', European Journal of Operational Research, vol. 301, no. 2, pp. 694-707. https://doi.org/10.1016/j.ejor.2021.11.0360377-2217ORCID: /0000-0002-5849-7772/work/118987023https://hdl.handle.net/2164/2322814820473engPortfolio optimisationMultivariate statisticsHomogeneous subsetsEstimation riskBootstrap aggregationHD28 Management. Industrial ManagementHG FinanceHD28HGWhy estimation alone causes Markowitz portfolio selection to fail and what we might do about itJournal article10.1016/j.ejor.2021.11.0363012