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Financial Analysts Journal Volume 66, 2010 - Issue 2
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Portfolio Management

In Defense of Optimization: The Fallacy of 1/N

Mark Kritzman Mark Kritzman, CFA, is president and CEO of Windham Capital Management, Cambridge, Massachusetts.
, CFA,
Sébastien Page Sébastien Page, CFA, is senior managing director at State Street Global Markets, Cambridge, Massachusetts.
, CFA &
David Turkington David Turkington, CFA, is vice president of State Street Global Markets, Cambridge, Massachusetts.
, CFA
Pages 31-39 | Published online: 31 Dec 2018

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Roberto Ortiz, Mauricio Contreras & Cristhian Mellado. (2022) Improving the volatility of the optimal weights of the Markowitz model. Economic Research-Ekonomska Istraživanja 35:1, pages 2836-2858.
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Oussama Tilfani, Paulo Ferreira & My Youssef El Boukfaoui. (2020) Multiscale optimal portfolios using CAPM fractal regression: estimation for emerging stock markets. Post-Communist Economies 32:1, pages 77-112.
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Yue Qi, Yushu Zhang & Siyuan Ma. (2019) Parametrically computing efficient frontiers and reanalyzing efficiency-diversification discrepancies and naive diversification. INFOR: Information Systems and Operational Research 57:3, pages 430-453.
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David Allen, Colin Lizieri & Stephen Satchell. (2019) In Defense of Portfolio Optimization: What If We Can Forecast?. Financial Analysts Journal 75:3, pages 20-38.
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Astrid Ayala & Szabolcs Blazsek. (2018) Score-driven copula models for portfolios of two risky assets. The European Journal of Finance 24:18, pages 1861-1884.
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David Ardia, Kris Boudt & Giang Nguyen. (2018) Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation. Quantitative Finance 18:8, pages 1249-1259.
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O.S. Oladele & D. Bradfield. (2018) An Empirical Assessment of Low Volatilty Portfolio Construction Techniques in the South African Environment. Studies in Economics and Econometrics 42:1, pages 41-62.
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Daniel D. Andrino & Ricardo P. C. Leal. (2018) Equally Weighted Strategic Allocation and Balanced Funds in Brazil. Latin American Business Review 19:1, pages 23-53.
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Theo Katz Battaglia & Ricardo P. C. Leal. (2017) Equally Weighted Portfolios of Randomly Selected Stocks and the Individual Investor. Latin American Business Review 18:1, pages 69-90.
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M.C. Münnix, R. Schäfer & O. Grothe. (2014) Estimating correlation and covariance matrices by weighting of market similarity. Quantitative Finance 14:5, pages 931-939.
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Frank Leclerc, Jean-François L’Her, Tammam Mouakhar & Patrick Savaria. (2013) Industry-Based Alternative Equity Indices. Financial Analysts Journal 69:2, pages 42-56.
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