ABSTRACT
Nobel Laureate Harry H. Markowitz provided one of the first formulations of portfolio allocation as an optimization problem (Markowitz (1952)); since then, portfolio allocation has been widely studied and numerous models have been introduced, although the underlying concepts have remained the same. As summarized by Meucci (2009), portfolio allocation can be viewed as a method of maximizing the degree of satisfaction of the investor. For example, one investor might seek a portfolio that minimizes risk represented by a covariance estimator of the daily returns on assets, whereas another might consider risk in terms of the draw-down of wealth over a given time period.
