There is a foundational crisis in modern finance and professional investment practice. There is little credible evidence that active investment strategies provide superior risk-adjusted, cost-adjusted return over investment relevant horizons. Investors are increasingly adopting minimal cost no-information index or rule-based factor funds. Why is professional investment management often unreliably effective? Is active investment management cost-effective viable for meeting long-term investor goals? What risks for investors who adopt minimal cost no-information investment strategies?

Dr. Michaud's lectures will focus on five components:

  1. The Birth of Modern Finance and Finance’s Wrong Turn
  2. The Rise of Institutional Quantitative Asset Management
  3. A Theory in Crisis
  4. The Simulation Revolution
  5. Evolutionary Financial Markets

Key Articles

Birth of Finance: Markowitz (1952, 1959), Sharpe (1964)

Quant Revolution: Rosenberg (1973, 1975), Ross (1974), Fama-French (1992)

Theory Failure: Sharpe (1964), Allais (1953), Kahneman-Tversky (1979)

Simulation Methods: Jobson-Korkie (1981), Michaud (1989), Michaud (1998)

Evolutionary Markets: Knight (1921), Keynes (1936), Young (1998)


The presentation level requires familiarity with modern financial concepts at an undergraduate finance level, financial practitioner, or CFA level I. There are no mathematical derivations or theorems. The discussion will remain primarily at an intuitive level with exceptions banished to short digressions.

Continuing Education

CFA Society members will receive five CE credits for attending the conference.

Additional Details

Each participant will receive a complimentary copy of Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (Harvard 1998, 2nd ed. Oxford 2008).

Class size is limited.

Please contact Pauline Hickey with any questions. 



Boston College Club
100 Federal Street
36th Floor
Boston, MA 02210




June 11, 2019
8:45 AM - 6:00 PM




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