Navigating Uncertainty: Enhancing Markowitz Asset Allocation Strategies through Out-of-Sample Analysis
Vijaya Krishna Kanaparthi
Abstract:This research paper explores the complicated connection between uncertainty and the Markowitz asset allocation framework, specifically investigating how mistakes in estimating parameters significantly impact the performance of strategies during out-of-sample evaluations. Drawing on relevant literature, we highlight the importance of our findings. In contrast to common assumptions, our study systematically compares these approaches with alternative allocation strategies, providing insights into their performanc… Show more
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