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Harry Markowitz found a free lunch in finance
Description
Markowitz, a titan of finance who won the 1990 Nobel prize in economics, died last month. He showed, in a mathematically rigorous way, that diversification could bring higher returns without higher risk.
Alex Scaggs joins Ethan to explain how Markowitz’s work led to a way of thinking that has become ubiquitous in modern finance (and that has spawned legions of haters).
Also, we go short economic forecasting and long Beyonce.
Links:
- Read Alex Scaggs’s Markowitz obit in the FT.
For a free 90-day trial to the Unhedged newsletter go to: https://www.ft.com/unhedgedoffer
Follow Ethan Wu (@ethanywu) and Katie Martin (@katie_martin_fx) on Twitter. You can email Ethan at ethan.wu@ft.com.
Read a transcript of this episode on FT.com
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