'The Impact of Skewness and Fat Tails on the Asset Allocation Decision': A Comment

摘要

It was with some consternation that I read in the article by James X. Xiong and Thomas M. Idzorek (March/April 2011) their allegation that no clear leading optimization methodology versus mean-variance optimization (MVO) exists today—notwithstanding the publications on this topic too numerous to mention, from Svetlozar Rachev and others, stretching back to the 1990s, which Xiong and Idzorek failed to reference.