This book fills a gap. It brings together in a logical sequence a vast swath of work by statisticians and economists on optimal allocation among risky assets.
The original Markowitz framework took expected returns and co-variances of returns as a given, and settled for a simplistic mean-variance preference criteria for choosing among portfolios. Subsequent work explored the modelling assumptions for security prices and the limitations of mean-variance analysis, suggesting more realistic crite
The week on Risk.net, July 7-13, 2018Receive this by email