About this document
Full-Scale vs Mean-Variance Optimization by Istiqomah Ghina is a document available to read on EtoBox.
This document summarizes and compares two approaches to portfolio optimization: mean-variance analysis and full-scale optimization. Mean-variance analysis, developed by Harry Markowitz, constructs efficient portfolios by maximizing expected return for a given level of risk. However, it relies on assumptions such as normally distributed returns and quadratic investor utility that are not always realistic. Full-scale optimization uses sophisticated algorithms to identify the truly optimal portfolio given any
- Author
- Istiqomah Ghina
- Language
- EN