Practical analysis for investment professionals
mean variance theory
On Investment Objectives and Risks, Clear Communication Is Key, Part 3
Portfolio Pi and Portfolio Eta are new decision metrics that connect investment objectives and risks.
On Investment Objectives and Risks, Clear Communication Is Key, Part 2
Standard deviation fails to characterize risk in a way that matters to most investors.
Has Goals-Based Investing Ruined Modern Portfolio Theory (MPT)?
Although a fundamentally important financial concept, modern or mean-variance portfolio theory (MPT) has been of little practical value to retail investors in their asset allocation. Hansi Mehrotra, CFA, believes it’s time to develop a more practical risk-management measure.