I came to the conclusion that in literature Markowitz' Portfolio Theory is believed to be compliant with the Efficient Market Hypothesis. The weakest form states that the current price fully ...
I was wondering whether there are a set of assumptions for portfolio optimisation with higher moments (including kurtosis and skewness) as there are for regular mean-variance optimisation?
My overall objective is to analyse the impact of error in mean-variance analysis from historical data. I am given the returns and standard deviation for the five assets under consideration, as well as ...
We are running a portfolio of fund managers in our fund. When one of the managers hits the max DD constraint we pull money from this manager. This may happen in the middle of the allocation period and ...
When reading a paper by DeMiguel and Nogales (2007; http://papers.ssrn.com/sol3/papers.cfm?abstract_id=911596), I came across the following formulation: Comparing the proposed minimum-risk ...