This article from IndexUniverse.com details just one of the ways Monte Carlo simulation can be tuned to the combined unfolding of time and risk. First, a little background. Since Harry Markowitz won the Nobel Prize in Economics in 1990, the Efficient Frontier has...
Let’s move on from Part I of this blog series on the Efficient Frontier, formulated over half a century ago by Harry Markowitz, to the New Frontier postulated by investment advisor Richard Machaud. Michaud is the author of Efficient Asset Management: A Practical...
The topic of the selection and weighting of assets (or projects) associated with an optimal portfolio is a large and complex one. For example in general business applications, the determination of the optimal set of companies or subsidiaries that a holding company or...
This entry follows on from Part I, describing optimal portfolio selection for portfolios where the expected return and standard deviation are sufficient to describe the decision-makers’ risk profile (i.e. the criteria to be used in deciding what is meant by...