Tag: investment
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What is the basis of “Basis Portfolios”?
Seventy years ago, Harry Markowitz gave us the recipe for the optimal portfolio: combine assets to maximize expected return for a given level of risk. In theory, it’s beautiful. In practice, it has been nearly impossible to implement. Why? Because the ingredients—expected returns and the covariance matrix of individual stocks—are not observable and are notoriously…
Sina Seyfi 