Ep. 887: A Trend Following Firehose with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
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The Importance of SKU in Asset Management
In the real world of asset management and trading, there's something called SKU. Harry Markowitz published a path-breaking paper in 1952 on how to optimize a portfolio. He said that this is the optimal trade-off of expected return and risk. If the asset returns are normally distributed, then there's no unusual tail behavior.
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