notices - See details
Notices
TF
Tong Foo Cheong (not verified)
19th July 2020 | 3:34am

Finally there is someone who dares to say that the emperor has no clothes.

Optimisation or any modelling depends on assumptions. Just as the discount rate in a Discounted Cash Flow model greatly affects the net present value of the project, the returns and risks assumptions in a portfolio optimisation will greatly affect the optimal portfolio. This will not be the optimal portfolio if the return and risk assumption do not bear out.