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 ...

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 ...

A set of assets is said to span the mean–variance space if the efficient frontier it generates cannot be improved upon with additional assets. Mean–variance spanning is used to determine empirically ...

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 ...

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 ...

Portfolio construction is the art (and science) of allocating weights to a collection of assets to achieve a given objective – typically, a target volatility or risk-adjusted return. The Markowitz ...