Archive | June 2012
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Optimal diversification is one of the key insights of modern portfolio theory, however, due to estimation errors, theory-based portfolio strategies are not as good as one once thought; under some circumstances, the difference between sophisticated models and naive strategy is not statistically significant. Naive diversification is instinctive common sense division of a portfolio, whereby an […]
The State of Hedge Fund Industry Since the creation of the first hedge fund by sociologist, author, and financial journalist Alfred W. Jones in 1949, diversification in fund strategies and overall industry expansion have made hedge funds as an asset class more heterogeneous than they were before. As of end of calendar year 2011, there […]
It may be necessary to mention the section of high net worth individuals (HNWIs) in The 2012 World Wealth Report*（please see below re the Methodology) first, which was released on June 19th, 2012, discovering the following facts: The world’s population of high net worth individuals (HNWIs) was little changed in size at 11.0 million in […]
“If you give CAPM and VaR to monkeys, they are going to create financial crisis.” This is one of the most vivid sayings I have heard these days, although I believe that you also agree that “CAPM is the best paper over the past 20 years.” Flawed Models, Bad Assumptions Financial theories and books tell […]