The Limits of Optimization in Strategic Multi-Asset Allocation
指出优化技术在战略多资产配置中表现不佳，并非技术或数据问题，而是优化框架与深度不确定性、制度约束等现实不匹配，建议将优化作为诊断工具，强调简单规则和稳健性。
Optimization techniques play a central role in portfolio construction theory, yet their practical performance in strategic multi-asset settings can often be disappointing. This article argues that these failures are not primarily technical, nor are they the result of poor implementation or insufficient data. Instead, they reflect a structural mismatch between optimization frameworks and the realities of strategic asset allocation decisions, which are made under deep uncertainty, regime dependence, institutional constraints, and governance requirements. Estimation error, unstable correlations, implementation frictions, and factor-level fragility are not peripheral complications; they define the environment in which strategic portfolio decisions occur. When optimization is treated as a decision authority, it amplifies fragile assumptions and creates an illusion of precision that masks fragility. The article reframes optimization as a diagnostic tool within a robustness-oriented portfolio design process, emphasizing simple portfolio rules, sensitivity analysis, robustness to regime changes, and interpretability over theoretical optimality.