REFERENCES

M. J. Best, and R. R. Grauer (1991). On the sensitivity of mean-variance-efficient portfolios to changes in assets means: Some analytical and computational results. Review of Financial Studies 4: 315–342.

M. J. Best, and R. R. Grauer (1992). The analytics of sensitivity analysis for mean-variance portfolio problems. International Review of Financial Analysis 1: 17–37.

A. Bevan, and K. Winkelmann (1998). Using the Black-Litterman global asset allocation model: Three years of practical experience. Fixed Income Research, Goldman Sachs.

F. Black, and R. Litterman (1990). Asset allocation: Combining investor views with market equilibrium. Goldman, Sachs & Co., Fixed Income Research, September.

V. K. Chopra, and W. T. Ziemba (1993). The effect of errors in means, variances, and covariances on optimal portfolio choice.Journal of Portfolio Management 19: 6–11.

F. J. Fabozzi, S. M. Focardi, and P. N. Kolm (2006). Financial Modeling of the Equity Market: From CAPM to Cointegration. Hoboken, NJ: John Wiley & Sons.

F. J. Fabozzi, P. N. Kolm, D. Pachamanova, and S. M. Focardi (2007). Robust Portfolio Optimization and Management. Hoboken, NJ: John Wiley & Sons.

L. Fisher (1975). Using modern portfolio theory to maintain an efficiently diversified portfolio. Financial Analysts Journal 31: 73–85.

D. Goldfarb, and G. Iyengar (2003). Robust portfolio selection problems. Mathematics of Operations Research 28: 1–38.

R. C. Green, and B. Hollifield (1992). When will mean-variance efficient portfolios ...

Get Handbook of Finance: Investment Management and Financial Management now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.