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Optimization sensitivity analysis for an asset allocation platform

https://doi.org/10.2139/ssrn.6424018
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The effect of estimation risk on optimal portfolio choice
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60 Years of portfolio optimization: Practical challenges and current trends
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An Empirical Evaluation of Sensitivity Bounds for Mean-Variance Portfolio Optimisation
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Cleaning large correlation matrices: Tools from Random Matrix Theory
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Analyzing investments whose histories differ in length
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Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
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Factor attribution that adds up
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Incorporating estimation errors into portfolio selection: Robust portfolio construction
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Can robust portfolio optimisation help to build better portfolios?
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Enhanced Portfolio Optimization
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Estimation for Markowitz Efficient Portfolios
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Mean–variance efficient portfolios with many assets: 50% short
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On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
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Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
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Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
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How Active Is Your Fund Manager? A New Measure That Predicts Performance
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The Market Portfolio May Be Mean/Variance Efficient After All
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Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
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On the Inverse of the Covariance Matrix in Portfolio Analysis
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The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights
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Portfolio Selection and Asset Pricing Models
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Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
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Impossible Frontiers
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Sensitivity Analysis for Mean-Variance Portfolio Problems
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Robust Portfolio Selection Problems
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Statistical Inference in Two-Parameter Portfolio Theory with Multiple Regression Software
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Bayes-Stein Estimation for Portfolio Analysis
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An Empirical Bayes Approach to Efficient Portfolio Selection
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Portfolio Optimization in Practice
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Global Portfolio Optimization
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Asset Allocation
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Risk Parity and Diversification
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