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 ...
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 ...
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 ...
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