The investment industry is undergoing a transformation that is largely attributable to technological advancements. Investors will benefit from a basic understanding of ML algorithms and the impact ...

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 ...

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 ...

This focused session discusses factor misalignment in portfolios construction, specifically around how it occurs when mean-variance optimization is performed on an alpha factor that is not contained ...

This focused session discusses factor misalignment in portfolios construction, specifically around how it occurs when mean-variance optimization is performed on an alpha factor that is not contained ...

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 ...