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dc.contributor.authorAllen, D.
dc.contributor.authorLizieri, C.
dc.contributor.authorSatchell, S.
dc.date.accessioned2016-08-11T15:24:51Z
dc.date.available2016-08-11T15:24:51Z
dc.date.issued2012-10-19
dc.identifier.otherCWPE1244
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/257092
dc.description.abstractMean-variance optimisation has been roundly criticised by financial economists and practitioners alike, leading many to advocate a simple 1/N weighting heuristic. We investigate the performance of the Markowitz technique conditional on investor forecasting ability. Using a novel analytical approach, we demonstrate that investors with a modicum of forecasting ability can employ mean-variance to significantly increase their ex ante utility, outperforming the 1/N rule.en
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subjectPortfolio Choice
dc.subjectInvestment Decisions
dc.subjectFinancial Forecasting and Simulation
dc.titleMean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)
dc.typeWorking Paper
dc.identifier.doi10.17863/CAM.1020


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