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 ...

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 ...

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 ...

Taking an approach contrary to the mean–variance portfolio, recent studies have appealed to an older wisdom, “the naive rule provides the best solution,” to improve out-of-sample performance in ...

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 ...

The traditional Markowitz portfolio optimization has two serious drawbacks. First, mean-variance portfolio optimization is inadequate when asset returns are skewed. Second, investor risk aversion is ...

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 ...

On this special episode of The Long View, we are honoring the life of Harry Markowitz, a finance giant and leader in research on diversification and Modern Portfolio Theory. Dr. Andrew Lo, professor ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...