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CDAR

Leading research at the intersection of financial economics and data science.

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ARTICLES

CURRENT EVENTS

Portfolio Selection Revisited in memory of Harry M. Markowitz

Authors: Alex Shkolnik, Alec Kercheval, Hubeyb Gurdogan, Lisa R. Goldberg, Haim Bar

Abstract: In 1952, Harry Markowitz formulated portfolio selection as a trade-off between expected, or mean, return and variance. This launched a massive research effort devoted to finding suitable inputs to mean-variance optimization. 

AMS Special Session: Loeb Measure after Fifty Years

The Special Session included fourteen research papers and a one-hour discussion session.  Two of Robert Anderson's papers were included in the program:
"General Equilibrium Theory for Measure-Theoretic Economies," joint with Haosui Duanmu, M. Ali Khan, and Metin Uyanik. 
"Existence of Berk-Nash equilibrium with infinite spaces," joint with Haosui Duanmu, Aniruddha Ghosh and M. Ali Khan.