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Read "Advanced portfolio management" by Paleologo (ironically it's actually the introductory one of his two books), or "Active portfolio management" for a more
by mhh__ 11mo ago
Read "Advanced portfolio management" by Paleologo (ironically it's actually the introductory one of his two books), or "Active portfolio management" for a more thorough, older, longer book on the topic.
Markowitz isn't really used at all, but Markowitz-like reasoning is used extremely heavily in finance, by which I basically mean factor modelling of various kinds - effectively the result of taking mean-variance as a concept and using some fairly aggressive dimensionality reduction to cope with the problems of financial data, and the fact that one has proprietary views about things ("alpha" and so on)
- pinkmuffinere 11mo agoThanks, just bought the book! Some nice reading for the holidays!