Can I read Best and Grauer - 1991 - On The Sensitivity of Mean-Variance-Efficient Port on EtoBox?

Best and Grauer - 1991 - On The Sensitivity of Mean-Variance-Efficient Port by Stephen Testerov is a document available to read on EtoBox.

What is Best and Grauer - 1991 - On The Sensitivity of Mean-Variance-Efficient Port about?

This paper examines how mean-variance (MV)-efficient portfolios react to changes in asset means, revealing that portfolio weights can be highly sensitive to such changes, especially when only budget constraints are applied. When nonnegativity constraints are included, the weights remain sensitive, but the overall portfolio returns are largely unaffected. The findings highlight the potential for significant shifts in portfolio composition with minimal changes in asset means, challenging traditional diversifi

Author

Stephen Testerov

Language

EN