Portfolio Optimization Quotes

You don't get rewarded for taking risk; you get rewarded for buying cheap assets. And if the assets you bought got pushed up in price simply because they were risky, then you are not going to be rewarded for taking a risk; you are going to be punished for it.

Briefly speaking, our conclusion is that stochastic volatility does not make a huge difference as far as the pricing is concerned if you get the average volatility right. It makes a big difference as far as hedging is concerned.

We adopted a focused strategy of core businesses in Citicorp that play to our unique historic strengths as a global bank that will provide strong growth and attractive returns over the long-term... And we've identified non-core assets we have shed.

Asset managers have different approaches, and I don't wish to suggest there is only one way to run money. There are many ways one can attempt to reduce risk, improve performance, lower drawdowns and reduce volatility.

Financial hydrogen bombs built on personal computers by 26-year-olds with MBAs.

Diversifying sufficiently among uncorrelated risks can reduce portfolio risk toward zero. But financial engineers should know that's not true of a portfolio of correlated risks.

Optimization tells us precisely how to diversify the portfolio, whether I should have 12% in semiconductors or 4% in biotech, etc., and it literally tells me how to diversify not only the industry groups but the stocks.

Imperfect substitutability of assets implies that changes in the supplies of various assets available to private investors may affect the prices and yields of those assets.

The investor of today does not profit from yesterday's growth.

Arbitrage proof has since been widely used throughout finance and economics.

The special sphere of finance within economics is the study of allocation and deployment of economic resources, both spatially and across time, in an uncertain environment. To capture the influence and interaction of time and uncertainty effectively requires sophisticated mathematical and computational tools.

Our system is dynamic, always shifting gears. What I do is I build models to beat the market.

CEOs are also chief capital allocators. This is a point Warren Buffett has repeatedly made: that the role management plays in allocating capital across businesses and boosting returns on that capital is a critical yet poorly recognized one.

You want less of the annoying nonsense that interferes with your portfolios and more of the significant data that allow you to become a less distracted, more purposeful investor.

When we do an investment, we always ask, 'Can we affect the outcome? When buying a company, can we have an impact?' That's a different style of investing than a passive investor in the stock market. To me, that's how you're taking the risk out of it. You know what your capability is and how you can enhance value.

In markets, there are times when you are looking for what makes sense. At other times, you are looking for what you can do that is sensible versus constraints and uncertainties.

It is obvious that the performance of a stock last year or last month is no reason, per se, to either own it or to not own it now. It is obvious that an inability to "get even" in a security that has declined is of no importance. It is obvious that the inner warm glow that results from having held a winner last year is of no importance in making a decision as to whether it belongs in an optimum portfolio this year.

One way to make sure you don't lose assets in the future is to streamline your accounts. Consider using one bank for all your banking needs and one brokerage firm for all your investments.

The social object of skilled investment should be to defeat the dark forces of time and ignorance which envelope our future.

Both cheap value stocks and more glamorous growth stocks can work well in a portfolio - if done right.

A financial institution has the task of taking risks, and if it's a well run institution - say, Goldman Sachs - it tries to cover the potential losses to itself, but only to itself.

The good thing about a dealer's derivatives portfolio is that it is marked to market.

I have plenty of investments that I wish I'd never made. But the model is to lose money on a lot of investments and then make 1,000X or 10,000X on an investment.

We continue to see acquisitions as an opportunity area for us. It's one of the tools that we use to grow.

My job is to look after all our investments and ensure that we grow.