Blog Archives

L’ottimizzazione di portafoglio con il modello media-varianza di Markowitz in R

Introduzione Il modello media-varianza di Markowitz (MV), presentato nel suo celebre articolo del 19521, sebbene abbia ha trovato ampissimo spazio nella ricerca in campo accademico non ha conosciuto una diffusione altrettanto profonda e ampia nel campo pratico visto dalla prospettiva delle imprese di investimento. Una possibile ragione di tale scarsa

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Posted in Economics, R-stats
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Mean-variance optimization on R

Mean-variance optimization (MVO), epitomized by Nobel prize winner prof. Markowitz, has conquered a pivotal place in academic works. Not as much as in asset managers strategies. An asset manager’s approach to investment management is somewhat different from the statistical and mathematical view of securities needed to feed an MVO model. Furthermore,

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Posted in Economics, R-stats
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MS Global Investment Committee on Nov. 18th

Morgan Stanley’s Global Investment Committee strategy looks rather positively at European stocks, check this out on Global Investment Committee, and think back on when you last went through your tactical vs. strategic asset allocation choice.

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Posted in Economics, Research & Analytics
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Are top “growers” top “performers”?

Life is hard when it comes to forecast future returns. How much expected earnings growth accounts for relative performance? Based on data by Factset about Stoxx 600 securities as of November 30, 2013, picking the top 115 12-month performers vs. the index and  comparing them with the top 115 securities in

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Posted in Economics
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Black-Litterman: a soft introduction

The Black-Litterman (BL) model considers explicitly that investors do express their own views about risky asset returns by collectively holding the market portfolio according to their market capitalizations. An active investment manager aiming at beating the market often implements her own views tilting the portfolio weights towards over or under performing assets according to rules

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Posted in Economics, Whitepapers
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