There’s a reason Wall Street firms recruit from MIT. For many investors, the financial markets are governed entirely by mathematical equations applied to aspects of a security’s price and trading ...

We were visiting a hedge fund some years back when we had our first taste of the problem with mean-variance optimization—the tool advisors use to balance risk and reward in client portfolios. We ...

This is a preview. Log in through your library . Abstract We apply conjugate duality to establish the existence of optimal portfolios in an assetallocation problem, with the goal of minimizing 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 ...

(a) in the limit of low uncertainty in estimated asset mean returns, the robust portfolio converges toward the mean-variance portfolio obtained with the same inputs, and (b) in the limit of high ...

We formulate a novel Markov regime-switching factor model to describe the cyclical nature of asset returns in modern financial markets. Maintaining a factor model structure allows us to easily derive ...

NEW YORK, Jan. 18, 2022 /PRNewswire/ -- CFA Institute, the global association of investment professionals, announces the winners of the 2021 Graham and Dodd Awards of Excellence. These prestigious ...

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 ...

How right Portfolio Management helps us to achieve better returns. Stock selection is not the most important thing in investing: avoid trying to find the next Apple. The stock market is not a "become ...

Axioma, a global provider of risk and portfolio management solutions, released the latest version of Axioma Portfolio Optimizer (APO 2017.R4). Key updates include multi-core optimization for shorter ...