Browsing: modern portfolio theory

Posts Tagged ‘ modern portfolio theory ’

Liquidity: Running for the Exits

Aug 15th, 2019 | Filed under: Newly Added, The A.I. Industry, Risk management, Hedge Funds, Other Issues in Private Investments, Risk Management Strategies & Processes, Risk Management & Operations

Liquidity vanishes when you need it most. That isn’t an especially original observation. It’s like saying that the exit doors are always jammed precisely when you need a quick exit quickly. Amin Rajan gives us a forceful statement of this point inspired by the “current travails at Woodford Asset Management.”Read More


Accommodating Ambiguity Aversion in Portfolio Modeling

May 14th, 2019 | Filed under: Newly Added, Performance, Analytics & Metrics, The A.I. Industry, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes

By standard definition, “ambiguity aversion” is the preference for known risks over unknown risks, the known unknowns over the unknown unknowns. A recent paper discusses the portfolio-level consequences of this aversion. The paper, written by Valery Polkovnichenko and Hui (Grace) Wang, explains that for an ambiguity-neutral investor, “adding active portfolio withRead More


How Bayesians Solve the Markowitz Problem

Jan 13th, 2019 | Filed under: Newly Added, CAPM / Alpha Theory, Financial Economics Theory, Behavioral finance, The Global Economy & Currencies, Macroeconomics, Finance & Economics

Understanding of the “Markowitz problem” has changed in the 60+ years since Harry Markowitz’ publication of an article in the Journal of Finance that outlined the basics of modern portfolio theory. The problem is that portfolio theory requires an investor to estimate risk, return, and correlation from market data, meaningRead More


Jacobs, Levy, and Markowitz on Portfolios

Aug 22nd, 2017 | Filed under: Newly Added, CAPM / Alpha Theory, Financial Economics Theory, Finance & Economics

Bruce Jacobs and Kenneth Levy, the founders and Chief Investment Officers of Jacobs Levy Equity Management, have brought out a new and considerably thickened edition of their classic collection of articles on equity investment. This second edition of Equity Management contains all 15 articles from the original, and 24 ofRead More