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Markowitz theory takes the asset means and covariances as 'given', whereas in reality estimating those quantities is extremely difficult. Essentially, portfoli
by soVeryTired 9y ago
Markowitz theory takes the asset means and covariances as 'given', whereas in reality estimating those quantities is extremely difficult.
Essentially, portfolio theory solves the easiest part of the problem, while leaving the hard bits as an exercise for the reader.