Apocalypse revisited: Do you know where your optimizer is at night?.

Portfolio theory is rich, containing mathematical algorithms, statistical analysis, risk measures, utility theory, expectations and investor behavior. Portfolio theory is simply a toolbox of statistical and mathematical tools trying to improve investment decision-making under risk or uncertainty. Portfolio theory is valuable under the right conditions. The problem with portfolio theory, however, derives from Godel's Incompleteness Theorem that states that a mathematical algorithm cannot prove its own validity. Portfolio optimization is a set of simultaneous equations that are solved mathematically in order to minimize expected risk and to maximize expected return. One approach to using portfolio optimization correctly is to generate a macro forecast of the economy. Planners should remember that optimization software is properly used only when it reflects expectations and forecasts.

Main Author: Nawrocki, David.
Language: English
Published: 1996
Online Access: http://ezproxy.villanova.edu/login?url=https://digital.library.villanova.edu/Item/vudl:178228
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author Nawrocki, David.
author_s Nawrocki, David.
spellingShingle Nawrocki, David.
Apocalypse revisited: Do you know where your optimizer is at night?.
author-letter Nawrocki, David.
author_sort_str Nawrocki, David.
dc_title_str Apocalypse revisited: Do you know where your optimizer is at night?.
title Apocalypse revisited: Do you know where your optimizer is at night?.
title_short Apocalypse revisited: Do you know where your optimizer is at night?.
title_full Apocalypse revisited: Do you know where your optimizer is at night?.
title_fullStr Apocalypse revisited: Do you know where your optimizer is at night?.
title_full_unstemmed Apocalypse revisited: Do you know where your optimizer is at night?.
collection_title_sort_str apocalypse revisited: do you know where your optimizer is at night?.
title_sort apocalypse revisited: do you know where your optimizer is at night?.
description Portfolio theory is rich, containing mathematical algorithms, statistical analysis, risk measures, utility theory, expectations and investor behavior. Portfolio theory is simply a toolbox of statistical and mathematical tools trying to improve investment decision-making under risk or uncertainty. Portfolio theory is valuable under the right conditions. The problem with portfolio theory, however, derives from Godel's Incompleteness Theorem that states that a mathematical algorithm cannot prove its own validity. Portfolio optimization is a set of simultaneous equations that are solved mathematically in order to minimize expected risk and to maximize expected return. One approach to using portfolio optimization correctly is to generate a macro forecast of the economy. Planners should remember that optimization software is properly used only when it reflects expectations and forecasts.
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dc.title Apocalypse revisited: Do you know where your optimizer is at night?.
dc.creator Nawrocki, David.
dc.description Portfolio theory is rich, containing mathematical algorithms, statistical analysis, risk measures, utility theory, expectations and investor behavior. Portfolio theory is simply a toolbox of statistical and mathematical tools trying to improve investment decision-making under risk or uncertainty. Portfolio theory is valuable under the right conditions. The problem with portfolio theory, however, derives from Godel's Incompleteness Theorem that states that a mathematical algorithm cannot prove its own validity. Portfolio optimization is a set of simultaneous equations that are solved mathematically in order to minimize expected risk and to maximize expected return. One approach to using portfolio optimization correctly is to generate a macro forecast of the economy. Planners should remember that optimization software is properly used only when it reflects expectations and forecasts.
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