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Financial Analysts Journal Volume 75, 2019 - Issue 3
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Articles

In Defense of Portfolio Optimization: What If We Can Forecast?

David Allen David Allen is head of long/short strategies at Plato Investment Management, Sydney, and an Honorary Associate of the University of Technology Sydney.
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Colin Lizieri Colin Lizieri is the Grosvenor Professor of Real Estate Finance at the University of Cambridge, Cambridge, United Kingdom.ORCID Iconhttps://orcid.org/0000-0002-7111-8052
ORCID Icon &
Stephen Satchell Stephen Satchell is a professor of finance at the University of Sydney Business School, Sydney, Australia, and a fellow of Trinity College, University of Cambridge, Cambridge, United Kingdom.ORCID Iconhttps://orcid.org/0000-0002-5258-762X
ORCID Icon
Pages 20-38 | Published online: 06 Jun 2019

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Pedro Henrique Melo Albuquerque, João Gabriel de Moraes Souza & Herbert Kimura. (2023) Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices. Communications in Statistics - Theory and Methods 52:12, pages 4229-4246.
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Tri M. Hoang. (2022) Active portfolio management for the emerging and frontier markets: the use of multivariate time series forecasts. Cogent Economics & Finance 10:1.
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Lasse Heje Pedersen, Abhilash Babu & Ari Levine. (2021) Enhanced Portfolio Optimization. Financial Analysts Journal 77:2, pages 124-151.
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Articles from other publishers (12)

Xueyong Tu & Bin Li. (2024) Robust portfolio selection with smart return prediction. Economic Modelling 135, pages 106719.
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David Allen, Stephen Satchell & Colin Lizieri. (2023) Quantifying the non-Gaussian gain. Journal of Asset Management 25:1, pages 1-18.
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Elie Benveniste, Petter N. Kolm & Gordon Ritter. (2024) Untangling Universality and Dispelling Myths in Mean-Variance Optimization. SSRN Electronic Journal.
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Prachi Jain & Debasish Maitra. (2023) Risk implications of dependence in the commodities: A copula-based analysis. Global Finance Journal 57, pages 100859.
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Ronald Ravinesh Kumar & Peter Josef Stauvermann. (2022) Portfolios under Different Methods and Scenarios: A Case of Fiji’s South Pacific Stock Exchange. Journal of Risk and Financial Management 15:12, pages 549.
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Wenhui Li, Anthony Loviscek & Miki Ortiz-Eggenberg. (2022) Searching for higher-performance, income-generating assets: a mutual fund assessment on asset-backed securities. Managerial Finance 48:6, pages 902-916.
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Todor Stoilov, Krasimira Stoilova & Miroslav Vladimirov. (2020) Decision making by bi-level model of portfolio optimization. Decision making by bi-level model of portfolio optimization.
Todor Stoilov, Krasimira Stoilova & Miroslav Vladimirov. (2020) Analytical Overview and Applications of Modified Black-Litterman Model for Portfolio Optimization. Cybernetics and Information Technologies 20:2, pages 30-49.
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Michael Ashby. (2020) The Value of Using Predictive Information Optimally. SSRN Electronic Journal.
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Richard O. Michaud. (2019) Comment on: Kritzman, M. 2006, 'Are Optimizers Error Maximizers?'. SSRN Electronic Journal.
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Richard O. Michaud, David Esch & Robert Michaud. (2019) Estimation Error and the 'Fundamental Law of Active Management'. SSRN Electronic Journal.
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Matthew R. Lyle & Teri Lombardi Yohn. (2018) Optimized Fundamental Portfolios. SSRN Electronic Journal.
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