Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns

By M. Best, R. Grauer.. 1992

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Threshold-based portfolio: the role of the threshold and its applications (2017, background): “Furthermore, as mean–variance optimization is extremely sensitive to expected returns, any errors therein might make outcomes far from optimal [44, 45].”
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2004, unknown): “For a discussion of the problems in estimating the covariance matrix in the context of portfolio optimization, see Best and Grauer (1992) , Ledoit (1996), Chan, Karceski, and Lakonishok (1999), and Ledoit and Wolf (2003).”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, unknown): “…imposed by the factor structure of returns (MacKinlay and Pastor, 2000); methods that focus on reducing the error in estimating the covariance matrix (Best and Grauer, 1992; Chan, Karceski, and Lakonishok, 1999; Ledoit and Wolf, 2004a, 2004b); and, finally, portfolio rules that impose…”
Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011, background): “…Iyengar (2003), Garlappi et al. (2007), Rustem et al. (2000), Tutuncu and Koenig (2004)), Bayesian robust optimization (Wang (2005)), robust estimation methods (DeMiguel and Nogales (2009)), and imposing constraints (Best and Grauer (1992), Jagannathan and Ma (2003), and DeMiguel et al. (2009)).”