Markowitz model
Time to move on from mean-variance diversification
A new diversification measure appears to produce better results than mean-variance optimisation
Time to put real problems to the quantum machines
There is a lot to learn before quantum computers can be applied to specific financial problems
Beyond Markowitz with quantum annealing
Venturelli and Kondratyev use quantum annealers to optimise portfolios
The implications of value-at-risk and short-selling restrictions for portfolio manager performance
This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup.
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
Stable linear-time optimisation in arbitrage pricing theory models
Gordon Ritter proposes a stable mean-variance optimisation for APT models
Deriving derivatives
Andrei Soklakov shows how to incorporate traditional investment ideas and clients’ views into structured product design
Cleaning correlation matrices
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes
Portfolio theory vindicated by crisis, says Markowitz
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis