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 ...

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 ...

(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 ...

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 ...

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 ...

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 ...

— -- Q: Is there software or other computer tools to help me pick the perfect mix of assets for my portfolio? A: Mean-Variance Optimization. Now, that's a mouthful. But despite the scary name, ...