Quantitative risk management techniques should prove their efficacy when financially turbulent periods are about to occur. Along the common saying “who needs an umbrella on a sunny day?”, a theoretical model is really helpful when it carries the right suggestion at the proper time, that is when markets start behaving hecticly. The beginning of the third decade of the 21st century carried along a turmoil that severely affected worldwide economy and changed it, probably for good. A consequent and plausible research question could be this: which financial quantitative approaches can still be considered reliable? This article tries to partially answer this question by testing if the mean-variance selection model (Markowitz [16], [17]) and some of his refinements can provide some useful hints in terms of portfolio management.

A remark on some extensions of the mean-variance portfolio selection models

Enrico Moretto
Primo
Writing – Original Draft Preparation
2021-01-01

Abstract

Quantitative risk management techniques should prove their efficacy when financially turbulent periods are about to occur. Along the common saying “who needs an umbrella on a sunny day?”, a theoretical model is really helpful when it carries the right suggestion at the proper time, that is when markets start behaving hecticly. The beginning of the third decade of the 21st century carried along a turmoil that severely affected worldwide economy and changed it, probably for good. A consequent and plausible research question could be this: which financial quantitative approaches can still be considered reliable? This article tries to partially answer this question by testing if the mean-variance selection model (Markowitz [16], [17]) and some of his refinements can provide some useful hints in terms of portfolio management.
2021
2021
https://www.aifirm.it/wp-content/uploads/2021/12/RMM-2021-03-Excerpt-4.pdf
Portfolio selection; Black-Litterman; Portfolio management
Moretto, Enrico
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11383/2122974
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