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 ...
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 ...
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 ...
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 ...
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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