Sep 26, 2012
Harry Markowitz’s idea of creating “optimal” portfolios that maximize return and minimize risk has been with us for a very long time. For many people, the manifestation of the idea of “optimal” portfolios is the efficient frontier- those portfolios that by mathematical definition have the most return per level of risk or conversely the least amount of risk per level of return.
Jun 21, 2012
One of the problems with traditional Monte Carlo projections is that it is very iterative process. After establishing the investor’s wealth goals and cash flows, a single portfolio with a forecasted return and risk is chosen. The Monte Carlo process is run and thousands of possible outcomes are calculated.
May 9, 2012
Bruce Berkowitz’s Fairholme Fund earned big headlines at the close of Q1, as his stock picking prowess was cited as the source of a 31% return for the quarter and presumably put his fund back on track to continue its long term outperformance versus the S&P 500.
Jul 8, 2011
A common question people have when using the Black-Litterman model is: How do I add alternative asset classes to my line-up of traditional asset classes? There are arguments both for and against the idea of using alternative asset classes in a Black-Litterman framework.