RT Journal Article SR Electronic T1 New Kids on the Block JF The Journal of Portfolio Management FD Institutional Investor Journals SP 42 OP 54 DO 10.3905/jpm.2004.442620 VO 30 IS 5 A1 Sergio M. Focardi A1 Petter N. Kolm A1 Frank J. Fabozzi YR 2004 UL https://pm-research.com/content/30/5/42.abstract AB The evolution of quantitative methods in finance is changing the investment management industry. With an altered focus in finance and investment theory, theoretical concepts such as market efficiency and market equilibrium have ceded ground to econometric methods that allow a more pragmatic investigation of asset predictability. Mean-variance optimization, one of the cornerstones of classic finance theory, presents some problems in practice, and recent developments in Bayesian modeling and robust optimization techniques circumvent some of its weaknesses. Beyond the classic framework, we must model the feedback mechanisms that we know to operate in financial markets, with caution as to model risk, data snooping, and overfitting biases.