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 ...
Our news journalists obtained a quote from the research from the University of Melbourne, "On the side of reinsurance, we require that the proportion of insurer's retained risk belong to [0, 1], is ...
Harry Markowitz’s dissertation on portfolio selection in 1952 focused on the value of combining two risky investments that do not move in lockstep with one another. Markowitz’s cutting-edge research ...
Portfolio construction is the art (and science) of allocating weights to a collection of assets to achieve a given objective – typically, a target volatility or risk-adjusted return. The Markowitz ...
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 ...
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