The Piker

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Sun Mar 16th 12:19 PM | Rating: 0 0
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Portfolio Theory Vindicated

Modern Portfolio Theory IS Harry Markowitz, so if Quantext does not use mean-variance optimization to help users allocate capital between asset classes to choose the appropriate portfolio for their risk appetite, you cannot say that QPP has "vindicated" Portfolio theory.

David's original portfolio was underweight assets that normally perform well in times of unanticipated inflation, and you were correct to add them. But still, the outperformance of the new-and-improved portfolio can most likely be attributed to the rather fortunate addition of IDU, IXC and IGE rather than Quantext.
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Sat Mar 15th 11:35 AM | Rating: 0 0
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Portfolio Theory Vindicated

Geoff:

I was wondering how you can declare (presumably Harry Markowitz's) Portfolio Theory to be vindicated when Qantext doesn't use the mean-variance "efficient" frontier -- for which he won the 1990 Nobel Prize in Economics -- to allocate assets?

Quantext users must specify the allocation to each asset class, which leaves room for 20/20 highsight and performance-chasing..
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