Introduction to Financial Mathematics
Lack of Robustness of the Markowitz procedure and the GMV portfolio

Lack of Robustness of the Markowitz procedure and the GMV portfolio

Theory

Although the promise of the Markowitz procedure is exciting, in tends to fall apart in practice. The problem is that we rarely know Expected Returns and Expected Covariance in advance. Our estimates almost certainly contain some estimation error, and we'll see that the procedure is highly sensitive to these errors, which tend to get exaggerated in the portfolio.

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