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| Treynor-Black Revisited Presentation of an enterprise-wide portfolio optimization model. | |
| Trade Center Inc.: Investment Portfolio Diversification Provides risk management, hedging, and porfolio diversifcation services through proprietary applications designed for futures and commodities trading. | ||
| Porfolio Optimization Article that describes the Traynor-Black model for portfolio selection and optimization. | ||
| Portfolio Optimization Series of research notes on constructing an optimal portfolio using quadratic programming. | ||
| WrapManager: Portfolio Diversification Investment services for clients with $500K minimum. Free asset allocation and money manager proposal, as well as research on over 2000 Money Managers. | ||
| Futures-Forward Differences and Equity Futures Lecture notes by Galen Burghart that cover the difference between futures and forwards and outline the pricing and application of equity futures. | ||
| Portfolio Optimization and the Russian Markets Presentation of various portfolio optimization models and their application to Russian markets. | ||
| Modern Portfolio Theory Introductory note on modern portfolio theory. | ||
| Managed Futures: Portfolio Diversification Opportunity Description of managed futures as an alternative investment and the role they play in portfolio diversification. | ||
| Creating Synthetic Assets Class notes by Galen Burghart on creating synthetic fixed income and equity assets using futures contracts. | ||
| Global Asset Allocation Description of Barra's global asset allocation model that includes an example of active asset management. | ||
| Attribution: A Robust Risk/Reward Measure Description of a model designed to quantify risk and reward in a portfolio. | ||
| Diversification, Rebalancing, and the Geometric Mean Frontier Presentation of a modification of traditional models of portfolio optimization. | ||
| Portfolio Optimization with Linear and Fixed Transaction Costs Analysis of the adoption of transaction costs in the global portfolio optimization exercise. | ||
| Optimal Portfolios with Bounded Downside Risks Analysis of Markowitz optimal portfolios in continuous time models. | ||
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