Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

Number: 
520
Published: 
Classification JEL: 
G11, G23, G32, D81
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy

First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of