The Markowitz mean–variance portfolio optimization problem is a quadratic programming problem whose first-order conditions require the solution of a linear system. It is well known that the optimal portfolio weights are sensitive to parameter estimates, particularly the mean return vector....

The Markowitz mean-variance portfolio optimization problem is a quadratic programming problem whose first-order conditions require the solution of a linear system. It is well known that the optimal portfolio weights are sensitive to parameter estimates, particularly the mean return vector. This...