Poll suggests “vintage knowledge” may be to blame for disinterest in alpha-centric portfolio techniques
Mar 16th, 2009 | Filed under: Editor's Pick, Today's Post
French business school spin-off Edhec Risk and Asset Management Research Centre is in the business of education. So it may come as no surprise that a recent white paper by the organization concludes that we all need more education on modern portfolio construction techniques.
While the report ostensibly covers the results of a survey of investment professionals, it does contain a certain element of brow-beating (“practitioners rely mostly on the assumption of a normal distribution…skewness and kurtosis is thus ignored…advanced techniques are not widely used…shortcomings in the area of portfolio construction…“).
However, Edhec makes several valid points about the resistance to measuring higher moments (skew & kurtosis, co-skew & co-kurtosis – see related AAA post) and relative returns vs. absolute returns. Says the report: More…
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