36555464
Descrição
Mapa Mental por Katerina Kritikos, atualizado more than 1 year ago
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Criado por Katerina Kritikos
mais de 2 anos atrás
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Limitations of efficient frontier
- Assumes standard deviation is the correct
measure of risk with normal distributions.
- Ignores investor constraints.
- Inputs for risk and correlation between assets rely on historical data. Further, correlations
rise in a financial crisis, so less risk diversified away than indicated by the model.
- Ignores transaction costs and investors may not be willing
to change portfolios as often as the model suggests.
- Assumes portfolio in each asset class are index
funds with same characteristics as input data.
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