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The Markowitz framework updated: how quants think about investing risk

quantbase.substack.com

7 points by tstewart314 4 years ago · 1 comment

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vampiretooth1 4 years ago

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...)

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