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 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 ...

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 ...

How right Portfolio Management helps us to achieve better returns. Stock selection is not the most important thing in investing: avoid trying to find the next Apple. The stock market is not a "become ...

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 ...

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 ...

Marshall Hargrave is a stock analyst and writer with 10+ years of experience covering stocks and markets, as well as analyzing and valuing companies. Dr. JeFreda R. Brown is a financial consultant, ...