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 ...

With the publication of his simply titled dissertation, "Portfolio Selection," 55 years ago, Harry Markowitz, a doctoral candidate in economics at the University of Chicago, presented the investment ...

Among academicians, few have made a real-world impact as far-reaching as Harry Markowitz, the father of modern portfolio theory. Markowitz devised his seminal theory as a 23-year-old Ph.D. student at ...

The endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in the portfolio selection literature and in widely used textbooks. The authors ...

According to Nvidia’s 2025 State of AI in Financial Services report, one in four firms identify portfolio optimization as the single most ROI generative application of AI in Finance. In reality, ...

This is a preview. Log in through your library . Abstract This paper provides a comprehensive survey of the econometrics of mean-variance efficiency tests. Starting with the classic F-test of Gibbons ...

Axioma, a global provider of risk and portfolio management solutions, released the latest version of Axioma Portfolio Optimizer (APO 2017.R4). Key updates include multi-core optimization for shorter ...

Stochastic dominance provides a rigorous method to compare uncertain prospects without imposing restrictive assumptions on investor risk preferences, thus offering an alternative to traditional ...

Steven Nickolas is a writer and has 10+ years of experience working as a consultant to retail and institutional investors. Portfolio variance is a measure of the dispersion of returns of a portfolio.