Markowitz 2.0: Innovations for asset allocation
The economic wreckage from the 2008 global financial crisis dealt a blow to the theoretical foundations of finance and economic. Many of these theories, such as Markowitz’s Modern Portfolio Theory (MPT), were considered received wisdom and taught in practically all business schools. But now they app...
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2012
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sg-smu-ink.pers-12972017-03-22T03:53:31Z Markowitz 2.0: Innovations for asset allocation Singapore Management University The economic wreckage from the 2008 global financial crisis dealt a blow to the theoretical foundations of finance and economic. Many of these theories, such as Markowitz’s Modern Portfolio Theory (MPT), were considered received wisdom and taught in practically all business schools. But now they appeared inadequate to the task of handling the “fat-tails” and “black swans” of extreme market events. These crashes were also occurring far more often than predicted by these theories. 2012-03-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/pers/319 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1297&context=pers http://creativecommons.org/licenses/by-nc-nd/4.0/ Perspectives@SMU eng Institutional Knowledge at Singapore Management University Finance Growth and Development |
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Finance Growth and Development |
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Finance Growth and Development Singapore Management University Markowitz 2.0: Innovations for asset allocation |
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The economic wreckage from the 2008 global financial crisis dealt a blow to the theoretical foundations of finance and economic. Many of these theories, such as Markowitz’s Modern Portfolio Theory (MPT), were considered received wisdom and taught in practically all business schools. But now they appeared inadequate to the task of handling the “fat-tails” and “black swans” of extreme market events. These crashes were also occurring far more often than predicted by these theories. |
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text |
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Singapore Management University |
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Singapore Management University |
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Singapore Management University |
| title |
Markowitz 2.0: Innovations for asset allocation |
| title_short |
Markowitz 2.0: Innovations for asset allocation |
| title_full |
Markowitz 2.0: Innovations for asset allocation |
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Markowitz 2.0: Innovations for asset allocation |
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Markowitz 2.0: Innovations for asset allocation |
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markowitz 2.0: innovations for asset allocation |
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Institutional Knowledge at Singapore Management University |
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2012 |
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https://ink.library.smu.edu.sg/pers/319 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1297&context=pers |
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