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August 14, 2017

The 'Optimal Ridge' allows the portfolio manager to quickly evaluate optimal portfolio performance for a range of possible portfolio premiums.

August 1, 2017

For loss modelling purposes the efficient frontier is incomplete. We must include the total portfolio premium as an extra dimension.

July 31, 2017

Harry Markowitz revolutionised investment theory with the introduction of mean-variance analysis in a 1952 essay entitled ‘Portfolio Selection’. Markowitz’s insight was to place emphasis on the correlations between securities and use diversification to minimise the ris...

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