mean-variance optimization
also referred to as: mean variance optimization
5 statements across 3 episodes · 0 bullish · 4 bearish · 3 people on the record · first statement Sep 24, 2018 by Raphael Arndt · across every show →
Everything said about mean-variance optimization, oldest first
Sep 24, 2018 negative
Arndt: Most Funds Rely on Flawed, Backward-Looking Portfolio Construction
“Most funds, I would say, I might not like to think of it this way, but I would say they're quite backward looking in their portfolio construction. What I mean by that is they take this sort of cap M theory and their main variance optimization, and they look at…”
Nov 9, 2020 bearish
Williams: Mean-variance optimization ignores fat-tail market drops and sequence risk
“For most mean variance optimization problems, you're throwing away the most important information. So think about making a decision about a loss limit over an investment horizon, and you have a real balance sheet to protect, but you're not actually taking into…”
Nov 9, 2020 bearish
Williams: Standard deviation rarely reflects the actual risks institutional investors face
“So the expected return being a point estimate May connect well into, I want to cover expenses, and I want to grow, and I want to pay fees, but the risk, meaning of variance and their standard deviation, only by some strange coincidence would be connected to th…”
Nov 9, 2020 negative
Williams: Mean-variance optimization is a conceptual framework, not a direct tool
“Really surprised that the mean variance optimization framework was applied directly and simply. Like, even from early days, it didn't make sense to me that these concepts, really, the point was to say something about how risk should be perceived, that it's sys…”