We had our first taste of the problem with mean-variance optimization at a hedge fund some years back. We loaded the positions into an optimizer, pressed the button, and discovered 25% of the ...
The mean-variance optimization suggested by Henry Markowitz represents a path-breaking work, the beginning of the so-called Modern Portfolio Theory. This theory has been criticized by some researchers ...
With the publication of his simply titled dissertation, "Portfolio Selection," 55 years ago, Harry Markowitz, a doctoral candidate in economics at the University of Chicago, presented the investment ...
This focused session discusses factor misalignment in portfolios construction, specifically around how it occurs when mean-variance optimization is performed on an alpha factor that is not contained ...
Variance is a measurement of the spread between numbers in a data set. Investors use the variance equation to evaluate a ...
This focused session discusses factor misalignment in portfolios construction, specifically around how it occurs when mean-variance optimization is performed on an alpha factor that is not contained ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results