Pierpaolo Uberti

Enhancing Numerical Stability in Portfolio Optimization via Numerical Rank: The $$\delta $$-Stable Part of the Efficient Frontier

Abstract The fact that the solution of the Markowitz model is numerically unstable is recognized as one of the principal reasons for its poor out-of-sample results when applied in practice. In the present paper, we show that, alongside standard instability sources such as the est...