Join us for a special presentation with one of the foremost scholars on portfolio optimization, Dr. Richard Michaud, as he shares his insights on the advances in asset allocation
*This event qualifies for one (1) CE credit under the CFA
Markowitz (1952) mean-variance (MV) optimization has been the theoretical standard for defining portfolio optimality for more than sixty years. However, MV optimization in practice is unstable, highly sensitive to small changes in estimates and difficult to manage. Black and Litterman (BL) (1992) propose to solve the problem of instability of MV optimization with a procedure that produces a single optimal portfolio based on an assumed optimal market portfolio and active views. The procedure is currently being used by thousands of asset managers worldwide with 100s of billions of assets or more under management and has been taught as an academic standard for more than twenty years.