Massaging Mean-Variance Inputs: Returns from Alternative Global Investment Strategies in the 1980s
研究在月度均值-方差资产配置中调整输入参数（如均值与协方差）对总回报、最终财富和组合换手率的影响，发现调整后的组合优于未调整的组合，且考虑交易成本后优势更明显。
This paper explores the impact of adjustments to the inputs on total returns, terminal wealth, and portfolio turnover in an unconstrained monthly mean-variance (MV) asset allocation over time. It is well known that MV allocations are very sensitive to small forecast errors in the means and covariances. This sensitivity is especially pronounced for errors in means. One way to control this sensitivity to forecast errors is to use Stein estimation. We examined three naive applications of Stein estimation for six individual country stock indexes, five country bond indexes and five cash indexes. This study has two major conclusions. First, any of the suggested adjustments to inputs dominate the results of an unadjusted-input MV optimization. Adjusted-input portfolios have higher mean return, less variance and greater terminal wealth than unadjusted-input portfolios. Second, these improvements become even greater with transaction costs.