Mean Variance Optimisation in the Market
Mean-variance theory was developed in the 50’s and 60’s by Markowitz, Tobin, Sharpe, and Lintner, among others. It is still called Modern Portfolio Theory (MPT) by some people. Mean-variance theory continues to be the main workhorse on which analytical portfolio management is based. The equilibrium version of mean-variance theory is called the Capital Asset Pricing Model (CAPM). The goal of the theory is to optimally invest funds in wide variety of assets. It is a quantitative tool, allowing making investment […]
