Chopra, Vijay K.; Hensel, Chris R.; Turner, Andrew L. - In: Management Science 39 (1993) 7, pp. 845-855
This paper explores the impact of adjustments to the inputs on total returns, terminal wealth, and portfolio turnover in an unconstrained monthly mean-variance (MV) asset allocation over time. It is well known that MV allocations are very sensitive to small forecast errors in the means and...