28 February 2014
- 3 minute read

Randomly simulated performance for 25 optimal (red lines) and equally weighted portfolios (green). Average outperformance of the optimal portfolio is shown in blue.

Each colour represents a given number of years of data to determine the inputs.

Results are shown on the data used to determine assets weights and then on subsequent data.

### References

[1] Harry Markowitz is a founding father of modern portfolio theory, publishing seminal work during the 1950s, and receiving the Nobel prize for economics in 1990.