Building Better Optimization Inputs

Lucas, Lori
February 1996
Journal of Financial Planning;Feb1996, Vol. 9 Issue 1, p64
Academic Journal
Optimization is a topic of some controversy these days. Few argue with the formula devised by Nobel Prize winner Harry Markowitz nearly half a century ago: instead, the center of the controversy is the construction of appropriate inputs. Practitioners recognize that their optimization results will only be as valid as the inputs they use. The more insightful the inputs, the more relevant the output (efficient portfolios) will be. This article provides a perspective on building better optimizer inputs.


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