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Total Posts: 50
Joined: Apr 2014
Posted: 2017-11-13 00:45
I was reading through He, Litterman. The intuition behind Black-Litterman (PDF) the other day, and just saw that there's an active Kelly Sizing thread in which Markowitz mean variance is discussed.

As a non-industry type, I have no idea what's actually going on. I'm curious what the current state of best practice in terms of portfolio optimisation is, particularly with respect to beta neutral portfolios.
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