Why “portfolio optimization” as a discipline , needs to develop a LOT ? Link : 1/N , an LBS paper reports that equally weighted portfolio is good enough!

NYT article says : _The F.T.C. said that beginning on Dec. 1, bloggers who review products must disclose any connection with advertisers, including, in most cases, the receipt of free products and whether or not they were paid in any way by advertisers, as occurs frequently. The new rules also take aim at celebrities, who will now need to disclose any ties to companies, should they promote products on a talk show or on Twitter.

“A good traveler has no fixed plans, and is not intent on arriving.” _ - Lao Tzu_

My random thoughts/questions about portfolio optimization , some of which got answered based on the work I had been doing in the last 2-3 weeks. Some remain unanswered!. Is efficient allocation a myth ? Abnormal Returns If multivariate gaussian is a theoretical approximation in the classic mv optimization, will a multivariate t suffice ? what multivariate distribution should one assume in computing portfolio risk and return ? To what extent robust estimators (mcd, shrink estimators) are useful in minimizing time varying nature of efficient frontier?

Charles Stein stunned the statistician community when he first published a paper which showed that average of past events is not the best predictor of future event. Here is the original article which uses baseball stats to give an insight in to the paradox – Paradox in Statistics