Flirting with Models

Research Library of Newfound Research | While other asset managers focus on alpha, our first focus is on managing risk.

Tag: MVO

The Risk in the Risk-Free Rate

The risk-free rate is a tool in portfolio construction, but the practical aspects of achieving that rate can be difficult in a low rate environment.

Managing Capital Market Assumption Risk

A robust portfolio is better than an optimal one. Mitigating the risk of incorrect capital market assumptions is important in mean variance optimization.

New White Paper: “Allocating Under Uncertainty: Simple Heuristics & Complex Models”

Optimal portfolios can underperform more naive constructions due to parameter uncertainty and instability over time.

The Intuition Behind Sharpe Maximization in Unconstrained Mean-Variance Optimization

In this post, we develop a simple intuition for interpreting maximum Sharpe ratio portfolios for both correlated and uncorrelated assets.
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