@article {Kritzman66, author = {Mark Kritzman}, title = {Are Optimizers Error Maximizers?}, volume = {32}, number = {4}, pages = {66--69}, year = {2006}, doi = {10.3905/jpm.2006.644197}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Small input errors to mean-variance optimizers often lead to large portfolio misallocations when assets are close substitutes for one another. In fact, when the assets are close substitutes, the return distribution of the presumed optimal portfolio is actually similar to the distribution of the truly optimal portfolio. Contrary to conventional wisdom, therefore, mean-variance optimizers usually turn out to be robust to small input errors when sensitivity is measured properly.TOPICS: Portfolio management/multi-asset allocation, risk management, analysis of individual factors/risk premia}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/32/4/66}, eprint = {https://jpm.pm-research.com/content/32/4/66.full.pdf}, journal = {The Journal of Portfolio Management} }