Stephen Sexauer & Laurence Siegel on Remembering Harry Markowitz, the Father of Modern Finance
Автор: CFA Institute Research Foundation
Загружено: 2024-11-01
Просмотров: 29
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Stephen Sexauer is SDCERA’s Chief Investment Officer and oversees SDCERA’s $17 billion pension Trust Fund, investment team, and investment consultants. Sexauer graduated from the University of Illinois with a BS in Economics and from the University of Chicago with an MBA in Economics and Finance.
Laurence B. Siegel is the Director of Research at the CFA Institute Research Foundation and a writer, speaker, and consultant. Siegel graduated from the University of Chicago with both a BA & a MBA. His website is http://www.larrysiegel.org.
Sexauer and Siegel describe the “bolt from the blue” represented by Harry Markowitz’s 1952 discovery of mean-variance optimization for investment portfolios. They indicate how optimization has been applied and misapplied, and suggest a new heuristic for combining optimizer outputs with other information.
Their published work on the topic can be found here: https://rpc.cfainstitute.org/en/resea...
Financial Thought Exchange is brought to you by the CFA Institute Research Foundation. If you would like to support the show and our work, please use the following donation link: https://rpc.cfainstitute.org/en/resea...
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