This paper develops a prior-free version of Markowitz (1952)’s efficient portfolio theory that allows the decision maker to express preferences over risk and reward, even though she is unable to express a prior over potentially non-stationary returns. The corresponding optimal allocation strategies are admissible, interior, and exhibit a form of momentum. Empirically, prior-free efficient allocation strategies successfully exploit time-varying risk premium present in historical returns.

中文翻译：

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主要是无先验资产配置

本文开发了 Markowitz (1952) 的有效投资组合理论的无先验版本，允许决策者表达对风险和回报的偏好，即使她无法表达对潜在非平稳回报的先验。相应的最优分配策略是可接纳的、内部的，并表现出一种动量形式。从经验上看，先验有效的分配策略成功地利用了历史回报中存在的时变风险溢价。