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portfolio theory
’Volatility as the new Black-Scholes
Here’s a timely discussion following the Vix smashing through the 20 level.
It comes via Euromoney columnist, Theo Casey, and it concerns a 2010 paper by Eckhard Platen, professor of quant finance at the University of Technology,
Contrarian institutional investing, hedge fund edition
A third of institutional investors – by common consent the holy grail of hedge fund clients thanks to their willingness to ride out a little bit of vega – say they’re looking to up their allocations to hedge fund managers,
Marking to Markowitz
Harry Markowitz – nobel laureate and father of Modern Portfolio Theory – has outlined a proposal for remedying the current financial crisis – a chief cause of which, he says, is a lack of transparency (H/T to Rolfe Winkler).