Comment by kgwgk
3 months ago
> This is why Markowitz isn't used much in the industry
This may be one reason but the return part is much more problematic than the risk part.
3 months ago
> This is why Markowitz isn't used much in the industry
This may be one reason but the return part is much more problematic than the risk part.
Very true, although the off-diagonal terms in the variance-covariance matrix are also hard to estimate, which is a problem, especially when simulating worst case scenarios, which is often when correlations tend to break down.