Modern Portfolio Theory and its proposed mean-variance optimization (MVO) framework can sometimes be an ineffective tool to Chief Investment Officers (CIO) responsible for selecting active managers for a particular asset class. The reason for ineffectiveness is the unstable nature of parameters...

The Selectivity Theory (Bolshakov, Chincarini & Lewis, 2021) was recently introduced as an alternative new optimization tool that a CIO can utilize in her strategy of picking active managers for an asset class. The main normative recommendation of the theory in this particular case would be that...