Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 20

 It has been argued that equally weighted portfolios perform better out of sample than optimized portfolios.

 The evidence for this result is misleading because it relies on extrapolation of historical means from short samples to estimate expected return. In some samples, the historical means for riskier assets are lower than the historical means for less risky assets, implying, contrary to reason, that investors are occasionally risk seeking.

 Optimization with plausible estimates of expected return reliably per- forms better than equal weighting.

 Also, equal weighting limits the investor to a single portfolio, regardless of the investor's risk tolerance, whereas optimization offers a wide array of investment choices.