Bridge over ocean
1 March 2003 Financial Analysts Journal Volume 59, Issue 2

Single-Period Mean–Variance Analysis in a Changing World (corrected)

  1. Harry M. Markowitz
  2. Erik L. van Dijk

Ideally, financial analysts would like to be able to optimize a consumption–investment game with many securities, many time periods, transaction costs, and changing probability distributions. We cannot. For a small optimizable version of such a game, we consider in this article how much would be lost by following one or another heuristic that could be easily scaled to handle large games. For the games considered, a particular mean–variance heuristic does almost as well as the optimum strategy.

Read the Complete Article in Financial Analysts Journal Financial Analysts Journal CFA Institute Member Content

We’re using cookies, but you can turn them off in Privacy Settings.  Otherwise, you are agreeing to our use of cookies.  Accepting cookies does not mean that we are collecting personal data. Learn more in our Privacy Policy.