Editing Modern portfolio theory (section)

==Extensions==

Since MPT's introduction in 1952, many attempts have been made to improve the model, especially by using more realistic assumptions.

[[Post-modern portfolio theory]] extends MPT by adopting non-normally distributed, asymmetric, and fat-tailed measures of risk.<ref>{{Cite journal|last1=Stoyanov|first1=Stoyan|last2=Rachev|first2=Svetlozar|last3=Racheva-Yotova |first3=Boryana|last4=Fabozzi|first4=Frank|date=2011|title=Fat-Tailed Models for Risk Estimation|url=https://www.econstor.eu/bitstream/10419/45631/1/659400324.pdf|journal=The Journal of Portfolio Management|issue=2|volume=37|pages=107–117|doi=10.3905/jpm.2011.37.2.107|s2cid=154172853}}</ref> This helps with some of these problems, but not others.

[[Black–Litterman model]] optimization is an extension of unconstrained Markowitz optimization that incorporates relative and absolute 'views' on inputs of risk and returns from.

The model is also extended by assuming that expected returns are uncertain, and the correlation matrix in this case can differ from the correlation matrix between returns.<ref name="Benichou"/><ref name="Valeyre"/>