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Harry Markowitz

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  1. Keep a Sharpe Eye on Future Risk

    Headlines

    Thu, 3 Apr 2014

    Future Sharpe ratios and investment management firms hang in the balance. Well, as Bill Sharpe’s contemporary Harry Markowitz pointed out long ago, investing is a process of compromises involving diversification, and many times the compromise

  2. A Preference for Discomfort

    Headlines

    Thu, 20 Mar 2014

    of our current understanding of financial markets. Harry Markowitz introduced modern portfolio theory (MPT) with his ..... who first propounded these wonderful theories, Harry Markowitz is the first to welcome these additional insights

  3. USMV iShares MSCI USA Minimum Volatility ETF Analysis, Report, Research, 5 Star Rating – Morningstar

    ETF Reports

    Wed, 19 Feb 2014

    model to build a portfolio that is forecast to have low risk. The theory behind the optimization was developed by Harry Markowitz more than 50 years ago, but the implementation has grown incredibly complex, requiring myriad inputs and assumptions

  4. All Is Well, Until It Isn’t

    Headlines

    Tue, 21 Jan 2014

    Diversification, and in particular Modern Portfolio Theory, can trace its roots back to the 1950’s. In 1952, Harry Markowitz developed techniques to determine the “optimal” mix of assets given a set of assumptions. This optimal mix later

  5. Online Investment Advice

    Headlines

    Fri, 10 Jan 2014

    respectability. Its investment board contains two Ivy League finance professors; its website links to pages about Harry Markowitz , Ken French, and Gene Fama; and its portfolios are based on "decades of Nobel-prize winning research," using

  6. The Challenges of Year-End Forecasting

    Headlines

    Fri, 20 Dec 2013

    While we are on the subject of Nobel Laureates in finance, it is worth remembering the crowning insight of Professor Harry Markowitz , who won the prize in 1990: diversification is the ultimate free lunch in investing. Clearly, 2013 was not the

  7. For Whom the Nobel Tolls

    Headlines

    Tue, 26 Nov 2013

    fairness, Fama was not the only famous economist to be victimized by my sarcasm. I also mentioned Nobel laureates Harry Markowitz and Paul Samuelson, and added, “While picking on Nobel Prize winners’ contributions to investment science

  8. It's the Data, Stupid!

    Headlines

    Thu, 17 Oct 2013

    In the early days, the aim was to develop a single, straightforward model for each major investment item. Thus, Harry Markowitz 's framework of the "efficient frontier," using as inputs an asset's forecasted returns, volatility, and correlations

  9. Smart Beta and the Pendulum of Mispricing

    Headlines

    Tue, 17 Sep 2013

    Cashman, Deli, Nardari, and Villupuram (2012). References Arnott, Robert D., Jason C. Hsu, Jun Liu, and Harry Markowitz . 2011. “ Can Noise Create the Size and Value Effects? ” Working Paper, University of California at San Diego

  10. Modern Portfolio Theory

    Commentary

    Fri, 14 Jun 2013

    Is anyone here dabbling with Harry Markowitz 's Modern Portfolio Theory for portfolio optimization/design? Nathan

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