Browsing: risk-adjusted return

Posts Tagged ‘ risk-adjusted return ’

How Bayesians Solve the Markowitz Problem

Jan 13th, 2019 | Filed under: CAPM / Alpha Theory, Financial Economics Theory, Newly Added, 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