Harry Markowitz found a free lunch in finance

Markowitz, a titan of finance who won the 1990 Nobel prize in economics, died last month. He showed, in a mathematically rigorous way, that diversification could bring higher returns without higher risk. Alex Scaggs joins Ethan to explain how Markowitz’s work led to a way of thinking that has become ubiquitous in modern finance (and that has spawned legions of haters).Also, we go short economic forecasting and long Beyonce.Links:- Read Alex Scaggs’s Markowitz obit in the FT.For a free 90-day trial to the Unhedged newsletter go to: https://www.ft.com/unhedgedofferFollow Ethan Wu (@ethanywu) and Katie Martin (@katie_martin_fx) on Twitter. You can email Ethan at [email protected] a transcript of this episode on FT.com Hosted on Acast. See acast.com/privacy for more information.