Agent-based market models are in general based on a-priori defined supply and demand schemes. Likewise, production models assume that prices are known a-priori. In reality prices depend on variable demands and supplies, while demand and supply depend on variable prices, and these two processes...

We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral attribute of humans reacting disproportionately to big changes....

We use insight from a model of earth techtonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the world's stock exchanges. Nonlinearity enters the model due to a behavioral attribute of humans reacting disproportionately to big...

Accurate predictions of predator behavior remain elusive in natural settings. Optimal foraging theory predicts that breath-hold divers should adjust time allocation within their dives to the distance separating prey from the surface. Quantitative tests of these models have been hampered by the...

We are pleased that Becker, Gürtler and Hibbeln (BGH), authors of “Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered,” are interested in assessing the investment value of Michaud optimization (Michaud 1990, Michaud and Michaud 2008), relative to Markowitz (1952,...

Target date funds are popular among many employers and fund managers. They are marketed as age-appropriate diversified portfolios and promoted as sophisticated easy-to-use funds.However, TDFs are no panacea. They are controversial among financial economists, insufficiently regulated, and...

The mean-variance (MV) optimization of Markowitz (1959) has been the standard for efficient asset allocation for almost 50 years. Nearly all commercial asset allocation optimizers are based on some variation of the Markowitz method. Markowitz MV optimized portfolios potentially have many...

The Markowitz (1952, 1959) mean-variance (MV) efficient frontier has been the theoretical standard for defining portfolio optimality for more than a half century. However, MV optimized portfolios are highly susceptible to estimation error and difficult to manage in practice (Jobson and Korkie...

The when-to-trade decision is a critical yet neglected component of modern asset management. Typical rebalancing rules are based on suboptimal heuristics. Rebalancing is necessarily a statistical similarity test between current and proposed optimal portfolios. Available tests ignore many real...

Allen et al (ALS) (2019) claim that a CAPM based theoretical framework for Markowitz (1952) mean-variance (MV) efficiency and a small level of forecast information (IC) can beat equal weighted portfolios. A portfolio optimization procedure worse than equal weighting would have little practical...