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 ...

Diversification has been called the oldest trick in the investment book. So old that to construct a diversified portfolio, it is still common to apply mean-variance optimisation, a 70-year-old ...

Portfolio optimisation and risk management form the bedrock of modern financial strategy, seeking to balance potential returns with manageable levels of risk. Building on the foundational work of ...

Portfolio optimisation and asset allocation strategies have evolved into sophisticated tools for managing financial risks while striving for superior returns. Recent advancements integrate classical ...