Читать книгу Alternative Investments - Black Keith H. - Страница 30

We have already seen that even in the case of three risky asset classes and the riskless rate, reasonable estimates of the weights could not be obtained unless short sale restrictions were imposed, and even in that case, no allocation to the MSCI World Index was recommended. This lack of allocation to an asset class was driven mostly by the portfolio's high volatility and relatively low return. In other words, using the past as an unbiased forecast of the future and using global equities as an asset class would have meant no allocation would be made to equities, and the portfolio would have focused on the remaining two assets. In practice, implementing an optimization method (mean-variance optimization, in particular) for portfolio allocation decisions raises major challenges.