Modern Portfolio Theory: Bruised, Broken, Misunderstood, Misapplied
As Chen observed, the global crisis that began in 2008 has called into question many of the basic assumptions and central tenets of modern portfolio theory (MPT). But, in fact, the world of investing has long been observed to be “non-normal” insofar as asset returns historically have not followed a normal, or Gaussian distribution, and correlations, rather than being stable, have varied significantly across different market regimes. The result is that the benefits of portfolio diversification, the discipline of adhering to a strategic asset allocation policy, and other practical implications of MPT are being challenged.
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