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Estimation Error Perturbation in MV Optimization by kusi786 is a document available to read on EtoBox.

This document proposes a new Estimation Error Perturbation (EEP) method for mean-variance (MV) optimization in asset allocation that addresses sensitivity to input errors. EEP constructs a small set of expected return cases that match the precision and correlation of estimated returns, spanning the confidence region. A single MV optimization is performed across all EEP cases simultaneously, allowing inequality constraints to be imposed on the final average portfolio weights. EEP preserves the linear-quadrat

Author

kusi786

Language

EN