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 ...

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 ...

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 ...

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 ...

(a) in the limit of low uncertainty in estimated asset mean returns, the robust portfolio converges toward the mean-variance portfolio obtained with the same inputs, and (b) in the limit of high ...

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 ...

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 ...

The investment industry is undergoing a transformation that is largely attributable to technological advancements. Investors will benefit from a basic understanding of ML algorithms and the impact ...

2021 JUL 05 (NewsRx) -- By a News Reporter-Staff News Editor at NewsRx Science Daily-- Research findings on Science - Management Science are discussed in a new report. According to news reporting from ...