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Financial Analysts Journal Volume 76, 2020 - Issue 2
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Letters to the Editor

“In Defense of Portfolio Optimization: What If We Can Forecast?”: Author Response

David Allen David Allen is head of long/short strategies at Plato Investment Management, Sydney, Australia, and an Honorary Associate of the University of Technology Sydney.
,
Colin Lizieri Colin Lizieri is the Grosvenor Professor of Real Estate Finance at the University of Cambridge, Cambridge, United Kingdom.
&
Stephen Satchell Stephen Satchell is a professor of finance at the University of Sydney Business School, Sydney, and a fellow of Trinity College, University of Cambridge, Cambridge, United Kingdom.
Pages 106-107 | Published online: 20 Feb 2020

References

  • Clarke, R., H. de Silva, and S. Thorley. 2002. “Portfolio Constraints and the Fundamental Law of Active Management.” Financial Analysts Journal, vol. 58, no. 5: 48–66.
  • Jobson, D., and B. Korkie. 1981. “Putting Markowitz Theory to Work.” Journal of Portfolio Management, vol. 7, no. 4: 70–74.
  • Michaud, R., D. Esch, and R. Michaud Forthcoming. “Estimation Error and the Fundamental Law of Active Management.” Journal of Investing Working paper (September)2019 available at https://newfrontieradvisors.com/ media/1744/fundamental-law-september-2019.pdf.
  • Samuelson, P.A.. 1970. “Fundamental Approximation Theorem of Portfolio Analysis in Terms of Means, Variances and Higher Moments.” Review of Economic Studies, vol. 37: 537–542.
  • Scherer, B.. 2002. “Portfolio Resampling: Review and Critique.” Financial Analysts Journal, vol. 58, no. 6: 98–109.

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