Portfolio construction is the art (and science) of allocating weights to a collection of assets to achieve a given objective – typically, a target volatility or risk-adjusted return. The Markowitz ...

(Bloomberg) — Harry Markowitz, a Nobel Prize-winning economist who redefined money management by showing that diversification could reduce investment risk while maximizing returns, has died. He was 95 ...

With the publication of his simply titled dissertation, "Portfolio Selection," 55 years ago, Harry Markowitz, a doctoral candidate in economics at the University of Chicago, presented the investment ...

Traditionally, portfolios are optimized with a single-regime Markowitz model, using volatility as the risk measure and historical return as the expected return. This paper shows what effects a ...