The foundational papers of quantitative finance since 1952, implemented and made interactive.
Each paper is read, implemented, and its figures drawn from scratch. The figures here are live: you can change their parameters.
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The foundational papers of quantitative finance, implemented and their figures redrawn.
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1952Harry MarkowitzPortfolio Selection
The first work to frame portfolio selection as a trade-off between expected return and variance.
Status: in progress1964William F. SharpeCapital Asset Prices: A Theory of Market Equilibrium under Conditions of RiskStatus: planned
1989Richard O. MichaudThe Markowitz Optimization Enigma: Is 'Optimized' Optimal?Status: planned
19501960197019801990
Optimisation amplifies estimation error in the inputs: the "optimal" portfolio is often the one carrying the most error.
19501960197019801990
1952Harry MarkowitzPortfolio Selection
The first work to frame portfolio selection as a trade-off between expected return and variance.
Status: in progress1964William F. SharpeCapital Asset Prices: A Theory of Market Equilibrium under Conditions of RiskStatus: planned
1989Richard O. MichaudThe Markowitz Optimization Enigma: Is 'Optimized' Optimal?Status: planned
Optimisation amplifies estimation error in the inputs: the "optimal" portfolio is often the one carrying the most error.