Mean-variance optimization requires estimates of each asset class’s expected return, volatility, and pairwise correlations as inputs, but the method is sensitive to these parameters and tends to produce concentrated and unintuitive portfolios if the parameters are naively specified.

Authors

• Person: Not available Organization: Wealthfront
  Wealthfront Classic Portfolio Investment Methodology White Paper

Sources

• Wealthfront Classic Portfolio Investment Methodology White Paper research.wealthfront.com Wealthfront via serper

Referenced by nodes (4)

• asset classes concept
• mean-variance optimization concept
• expected return concept
• volatility concept