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Birger Nilsson Working Papers

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#2007-016D "Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK"
by Björn Hagströmer, Richard G. Anderson, Jane M. Binner, Thomas Elger, and Birger Nilsson
April 2007
Revised October 2007

Portfolio choice by full-scale optimization applies the empirical return distribution to a parameterized utility function, and the maximum is found through numerical optimization. More...

PUBLISHED: The Manchester School, September 2008, 76(Sup. 1), pp. 134-56

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