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Level III
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Asset Allocation
Asset Allocation
Medium
Resampled mean-variance optimization (Michaud) addresses input sensitivity by:
A
Running multiple optimizations with perturbed inputs and averaging the resulting allocations
B
Constraining all asset class weights to be equal
C
Using only variance (ignoring expected returns) as the optimization input
D
Replacing expected returns with dividend yields for all asset classes
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Tags
#resampled-mvo
#monte-carlo
#mvo-criticisms
#input-sensitivity
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