The Markowitz framework updated: how quants think about investing risk(quantbase.substack.com)

7 pointsby tstewart3144 years ago1 comments

quantbase.substack.com

The Markowitz framework updated: how quants think about investing risk

https://quantbase.substack.com/p/how-quants-think-about-risk

1 comments

Obviously doesn't get into all the nuances of Mean-Variance, as I wouldn't have expected a Substack article to attempt.

I thought the discussion focusing on Sharpe was really interesting. There's lots of higher risk investing opportunities like options, alternatives, and crypto, but not a way to put them on the same scale vs each other.

Edit: They run an Inverse Cramer Index (https://www.getquantbase.com/fund/details?title=Inverse%20Ji...)