Flirting with Models

The Research Library of Newfound Research

Tag: MVO

The Risk in the Risk-Free Rate

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On December 10, 2018

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

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On July 24, 2017

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”

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On March 22, 2013

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

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On February 25, 2013

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

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