In this paper, we evaluate the out-of-sample performance of the portfolio policy from the sample-based mean-variance portfolio model and the various extensions of this model, designed to reduce the impact of estimation error relative to the benchmark strategy of investing a fraction 1/N of...

We develop a model of portfolio choice capable of nesting the views of Keynes, advocating concentration in a few familiar assets, and Markowitz, advocating diversification across all available assets. In the model, the return distributions of risky assets are ambiguous, and investors are averse...