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Episode 27 - Modern Portfolio Theory [CFP CE Credit Eligible]
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When? This feed was archived on July 03, 2020 04:25 (). Last successful fetch was on March 10, 2020 13:55 ()
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Manage episode 214526324 series 2415839
Stephen Craffen of Stonegate Wealth Management in Oakland, NJ joins Roger and Ben to discuss Modern Portfolio Theory, from its humble origins as a scrappy idea cooked up in a back room at the University of Chicago through its ascendancy and eventual dominance on every CFP and CFA multiple choice exam. And you thought you were done with this stuff!
We touch on a number of critical concepts, including:
- The creation and important takeaways of Modern Portfolio Theory (MPT)
- Thenecessary assumptions that make MPT "work" and the limitations thereof
- Possible updates to Modern Portfolio Theory, including the Black-Litterman approach of portfolio allocation and making use of concepts like Conditional Value at Risk
- Fat tails, extreme events (like 2008) and the challenge of serial correlation
- Roger riffing on the Gaussian distribution
Stephen mentions the seminal work of Roger Ibbotsen and asset allocation. His regularly updated book on the returns of asset classes over time is a widely known, but did you know that the name of his current firm is Zebra Capital Management? How did we not know this! We're ZebraSmash!
Roger Lowenstein's When Genius Failed: The Rise and Fall of Long-Term Capital Management is another classic. It's always fun to read about how the economic system almost came crashing down.
93 episodes
Archived series ("Inactive feed" status)
When? This feed was archived on July 03, 2020 04:25 (). Last successful fetch was on March 10, 2020 13:55 ()
Why? Inactive feed status. Our servers were unable to retrieve a valid podcast feed for a sustained period.
What now? You might be able to find a more up-to-date version using the search function. This series will no longer be checked for updates. If you believe this to be in error, please check if the publisher's feed link below is valid and contact support to request the feed be restored or if you have any other concerns about this.
Manage episode 214526324 series 2415839
Stephen Craffen of Stonegate Wealth Management in Oakland, NJ joins Roger and Ben to discuss Modern Portfolio Theory, from its humble origins as a scrappy idea cooked up in a back room at the University of Chicago through its ascendancy and eventual dominance on every CFP and CFA multiple choice exam. And you thought you were done with this stuff!
We touch on a number of critical concepts, including:
- The creation and important takeaways of Modern Portfolio Theory (MPT)
- Thenecessary assumptions that make MPT "work" and the limitations thereof
- Possible updates to Modern Portfolio Theory, including the Black-Litterman approach of portfolio allocation and making use of concepts like Conditional Value at Risk
- Fat tails, extreme events (like 2008) and the challenge of serial correlation
- Roger riffing on the Gaussian distribution
Stephen mentions the seminal work of Roger Ibbotsen and asset allocation. His regularly updated book on the returns of asset classes over time is a widely known, but did you know that the name of his current firm is Zebra Capital Management? How did we not know this! We're ZebraSmash!
Roger Lowenstein's When Genius Failed: The Rise and Fall of Long-Term Capital Management is another classic. It's always fun to read about how the economic system almost came crashing down.
93 episodes
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