Institutional Investor Magazine: FinAnalytica Chief Scientist, Zari Rachev, comments on Modern Portfolio Theory.
4 May 2010Cited in a May 2010 Institutional Investor Magazine article, Modern Portfolio Theory's Evolutionary Road, Zari Rachev, FinAnalytica Cief Scientist, compares relying on MPT to living in an avalanche zone. "The correlations that are embedded as the main assumption — the normality of returns — are telling you the chance of an avalanche affecting everybody in the village below is zero,” he says.
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