CFA Society Boston and New Frontier Institute were proud to present our 2021 © Distinguished Lecture Series of highly topical presentations by widely acknowledged authorities on issues of particular interest to asset management practitioners. The Series consisted of four monthly lectures beginning in February and ending in May 2021. The presentations included an analysis of the pension fund management crisis, the surprising long-term performance of equities, defining ESG for asset management, and the latest research in cryptocurrencies.
The authors show with intuitive discussion followed by a novel simulation study that applications of the Grinold (1989) "Fundamental Law" theory for optimized portfolio design are often unreliable and self-defeating.
The major problem with mean variance optimization is its tendency to maximize the effects of errors in the input assumptions. Unconstrained mean variance optimization can yield results that are inferior to those of simple equal-weighting schemes.
This paper explores the relationship between the geometric mean and terminal wealth distribution.