SSRN Author: Ilya KipnisIlya Kipnis SSRN Content
http://www.ssrn.com/author=2325704
http://www.ssrn.com/rss/en-usSun, 19 Jul 2015 15:46:44 GMTeditor@ssrn.com (Editor)Sun, 19 Jul 2015 15:46:44 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Momentum and Markowitz: A Golden CombinationMean-Variance Optimization (MVO) as introduced by Markowitz (1952) is often presented as an elegant but impractical theory. MVO is "an unstable and error-maximizing" procedure (Michaud 1989), and "is nearly always beaten by simple 1/N portfolios" (DeMiguel, 2007). And to quote Ang (2014): "Mean-variance weights perform horribly… The optimal mean-variance portfolio is a complex function of estimated means, volatilities, and correlations of asset returns. There are many parameters to estimate. Optimized mean-variance portfolios can blow up when there are tiny errors in any of these inputs...".
In our opinion, MVO is a great concept, but previous studies were doomed to fail because they allowed for short-sales, and applied poorly specified estimation horizons. For example, Ang used a 60 month formation period for estimation of means and variances, while Asness (2012) clearly demonstrated that prices mean-revert at this time scale, where the best assets in the past often become the ...
http://www.ssrn.com/abstract=2606884
http://www.ssrn.com/1401978.htmlFri, 05 Jun 2015 05:41:38 GMTREVISION: Momentum and Markowitz: A Golden CombinationMean-Variance Optimization (MVO) as introduced by Markowitz (1952) is often presented as an elegant but impractical theory. MVO is "an unstable and error-maximizing" procedure (Michaud 1989), and "is nearly always beaten by simple 1/N portfolios" (DeMiguel, 2007). And to quote Ang (2014): "Mean-variance weights perform horribly… The optimal mean-variance portfolio is a complex function of estimated means, volatilities, and correlations of asset returns. There are many parameters to estimate. Optimized mean-variance portfolios can blow up when there are tiny errors in any of these inputs...".
In our opinion, MVO is a great concept, but previous studies were doomed to fail because they allowed for short-sales, and applied poorly specified estimation horizons. For example, Ang used a 60 month formation period for estimation of means and variances, while Asness (2012) clearly demonstrated that prices mean-revert at this time scale, where the best assets in the past often become the ...
http://www.ssrn.com/abstract=2606884
http://www.ssrn.com/1398775.htmlFri, 22 May 2015 15:01:51 GMTREVISION: Momentum and Markowitz: A Golden CombinationMean-Variance Optimization (MVO) as introduced by Markowitz (1952) is often presented as an elegant but impractical theory. MVO is "an unstable and error-maximizing" procedure (Michaud 1989), and "is nearly always beaten by simple 1/N portfolios" (DeMiguel, 2007). And to quote Ang (2014): "Mean-variance weights perform horribly… The optimal mean-variance portfolio is a complex function of estimated means, volatilities, and correlations of asset returns. There are many parameters to estimate. Optimized mean-variance portfolios can blow up when there are tiny errors in any of these inputs...".
In our opinion, MVO is a great concept, but previous studies were doomed to fail because they allowed for short-sales, and applied poorly specified estimation horizons. For example, Ang used a 60 month formation period for estimation of means and variances, while Asness (2012) clearly demonstrated that prices mean-revert at this time scale, where the best assets in the past often become the ...
http://www.ssrn.com/abstract=2606884
http://www.ssrn.com/1397879.htmlTue, 19 May 2015 12:41:13 GMTREVISION: Momentum and Markowitz: A Golden CombinationMean-Variance Optimization (MVO) as introduced by Markowitz (1952) is often presented as an elegant but impractical theory. MVO is "an unstable and error-maximizing" procedure (Michaud 1989), and "is nearly always beaten by simple 1/N portfolios" (DeMiguel, 2007). And to quote Ang (2014): "Mean-variance weights perform horribly… The optimal mean-variance portfolio is a complex function of estimated means, volatilities, and correlations of asset returns. There are many parameters to estimate. Optimized mean-variance portfolios can blow up when there are tiny errors in any of these inputs...".
In our opinion, MVO is a great concept, but previous studies were doomed to fail because they allowed for short-sales, and applied poorly specified estimation horizons. For example, Ang used a 60 month formation period for estimation of means and variances, while Asness (2012) clearly demonstrated that prices mean-revert at this time scale, where the best assets in the past often become the ...
http://www.ssrn.com/abstract=2606884
http://www.ssrn.com/1397388.htmlSat, 16 May 2015 19:20:17 GMT