There’s a reason Wall Street firms recruit from MIT. For many investors, the financial markets are governed entirely by mathematical equations applied to aspects of a security’s price and trading ...

Portfolio optimisation and risk management form the bedrock of modern financial strategy, seeking to balance potential returns with manageable levels of risk. Building on the foundational work of ...

Diversification has been called the oldest trick in the investment book. So old that to construct a diversified portfolio, it is still common to apply mean-variance optimisation, a 70-year-old ...

Portfolio optimisation and asset allocation strategies have evolved into sophisticated tools for managing financial risks while striving for superior returns. Recent advancements integrate classical ...

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 ...

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 ...

NEW YORK, Jan. 18, 2022 /PRNewswire/ -- CFA Institute, the global association of investment professionals, announces the winners of the 2021 Graham and Dodd Awards of Excellence. These prestigious ...

This is a preview. Log in through your library . Abstract We apply conjugate duality to establish the existence of optimal portfolios in an assetallocation problem, with the goal of minimizing the ...

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 ...