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 ...
This paper introduces a new approach to constructing optimal mean-variance portfolios. The approach relies on a novel unconstrained regression representation of the mean-variance optimization problem ...
Our news journalists obtained a quote from the research from the University of Melbourne, "On the side of reinsurance, we require that the proportion of insurer's retained risk belong to [0, 1], is ...
For more than 55 years, Institutional Investor has delivered the news and analysis that investment professionals need to succeed and stay relevant. Our coverage of the global asset management industry ...
Inside the range of approaches sophisticated investors use to manage money, there’s a simple key to taking charge of your own investments. There’s a lot we individual investors can learn and apply. An ...
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 ...
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