Tag Archives: Modern Portfolio Theory

Hedge fund diversification

Posted on January 13, 2023 by Youssef LOURAOUI

In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) discusses the notion of hedge fund diversification by analyzing the paper “Hedge fund diversification: how much is enough?” by Lhabitant and Learned (2002). This article is … Continue reading →

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Minimum Volatility Portfolio

Posted on January 9, 2023 by Youssef LOURAOUI

In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) elaborates on the concept of Minimum Volatility Portfolio, which is derived from Modern Portfolio Theory (MPT) and also in practice to build investment funds. This article … Continue reading →

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Optimal portfolio

Posted on December 19, 2022 by Youssef LOURAOUI

In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the concept of optimal portfolio, which is central in portfolio management. This article is structured as follows: we first define the notion of an optimal … Continue reading →

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Specific risk

Posted on April 1, 2022 by Youssef LOURAOUI

In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) explains the specific risk of financial assets, a key concept in asset pricing models and asset management in practice. This article is structured as follows: we … Continue reading →

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Systematic risk

Posted on April 1, 2022 by Youssef LOURAOUI

In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the systematic risk of financial assets, a key concept in asset pricing models and investment management theories more generally. This article is structured as follows: … Continue reading →

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Implementing Black-Litterman asset allocation model

Posted on March 21, 2022 by Youssef LOURAOUI

In this article, Youssef Louraoui (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents an implementation of the Black-Litterman model, used to determine the expected return of a portfolio by integrating investor’s views regarding the performance of the underlying … Continue reading →

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Implementing Markowitz asset allocation model

Posted on March 20, 2022 by Youssef LOURAOUI

In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) explains how to implement the Markowitz asset allocation model. This model is used to determine optimal asset portfolios based on the risk-return trade-off. This article follows … Continue reading →

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Smart beta 2.0

Posted on October 1, 2021 by Youssef LOURAOUI

In this article, Youssef LOURAOUI (ESSEC Business School, Global Bachelor of Business Administration, 2017-2021) presents the concept of Smart beta 2.0, an enhancement of the first generation of smart beta strategies. The structure of this post is as follows: we … Continue reading →

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Markowitz Modern Portfolio Theory

Posted on September 20, 2021 by Youssef LOURAOUI

Markowitz Modern Portfolio Theory In this article, Youssef LOURAOUI (ESSEC Business School, Global Bachelor of Business Administration, 2017-2021) presents Markowitz’s Modern Portfolio Theory, a pioneering framework for understanding the impact of the number of stocks in a portfolio and their … Continue reading →

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