Research method
Mean-variance optimization
Mean-variance optimization is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The archive
Where the method has been read
Read in the archive9 readings
1984Evaluating managed account portfolios on the risk-return frontier1990Implied economic forecasts from factor portfolio construction1993Evaluating downside shortfall versus variance and beta1994Alpha screening and regime-aware portfolio construction2002Set mixed-book share counts from one portfolio loss bound2007Sizing a trend sleeve with a risk-aversion sweep2010Portfolio construction as a pipeline: a 2010 classroom case2013Classroom books, leftover beta, and diversification2015Two layers for a managed-futures sleeve in a stock-bond mix
This registry entry describes a research method. It is not investment advice and does not make a performance claim.