CPD Events
Industry Talk: The Development and Evolution of Mean-Variance Efficient Portfolios in the US and Japan
08 Feb 2024
About the event
In 1992; John Mulvey co-edited a Special Issue on “Financial Engineering” in the Annals of Operations Research; featuring a study by Guerard; Takano; and Yamane that demonstrated the outperformance of a composite model in creating mean-variance efficient portfolios for the Japanese and U.S. equity markets; beating benchmarks by around 400 basis points annually. Bill Ziemba refereed the study. Markowitz and Xu confirmed the strategy’s success; showing statistically significant excess returns that weren’t a result of data mining. After three decades; new research reaffirms the strategy’s effectiveness; suggesting profitable opportunities in financial anomalies; although changing risk models can complicate portfolio selection.
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Fitch Learning
Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. Fitch Learning is a global leader in training with experience of delivering specialised technical training at all levels to the financial community. Fitch Learning partner with clients to elevate knowledge and skills and enhance conduct. We work with 9 out of 10 of each of the largest Investment Banks, Asset Managers and Global Banks and through state-of-the-art training centres in London, New York, Hong Kong, Singapore and Dubai, and our leading distance learning portals, we train more than 20,000 delegates each year.