Flirting with Models

The Research Library of Newfound Research

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.

You are about to leave thinknewfound.com and are being redirected to the website for Newfound Research Funds.