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I'm supposed to write an essay on "essential new ideas in my current field of research".

Hence, I'm looking for essential (= it has the potential to change the way we look at the discipline) and new (= the last decade) ideas in the area of portfolio theory, selection and optimization as well as equity valuation.

Frankly, I have difficulties to come up with really "new" and "essential" concepts - any hints from anybody?

Thanks...

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    $\begingroup$ Risk Parity? Smart Beta? Goal-based investing? Maximum Diversification? Passive Investing winning out over Active for individual investors? The twilight of 2-and-20 hedge funds? The Adaptive Market Hypothesis of A. Lo? Robo Advisors? Volatility Control Funds? The Pension Crisis in the U.S.? Just some ideas. $\endgroup$ – Alex C Sep 28 '16 at 2:42
  • $\begingroup$ Has the Yale Endowment Model held up well (for institutions other than Yale), or should we go back to the Traditional Endowment Model? Do new products like HECM Mortgages or ALDA annuities belong in an individual retirement portfolio? $\endgroup$ – Alex C Sep 28 '16 at 17:59
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I think, an interesting point to start is this blog post in PortfolioProbe. At least you'll have a feeling about some drawbacks of traditional methods, and how these drawbacks are traditionally offsetted (or failed to be offsetted). Then, I think, papers and book by Attilio Meucci have some interesting ideas. Then, for many years I have heard about progress of behavioral finance, but this theory (as far as I understand) is purely descriptive; do we have something prescriptive, based on BF? I don't know, but would happily read, if there would be something. Finally, another interesting idea is some theory that would encompass somehow the fact, that in reality decisions are made not by 'representative agent', but by group with its own dynamics. Perhaps that might have some implications on aggregated level (or not? That's just an idea.)


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