Portfolio
Beyond modern portfolio theory: Probabilistic scenario optimisation
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Risk constraints for portfolio optimization with fixed-fee transaction cost
In this paper the authors investigate how fixed-fee transaction costs affect portfolio rebalancing.
Investing across periods with Mahalanobis distances
The authors propose an analytical framework to measure investment opportunities and allocate risk across time based on the Mahalanobis distance.
On optimizing risk exposures with trend-following strategies in currency overlay portfolios
This paper proposes using an optimization mechanism in the currency overlay portfolio construction process.
Risk management for whales
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
Johnson-Omega performance measure
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
Risk manager of the year (utility): GDF Suez Trading
Internal and external clients benefit from utility’s risk management skills
Notes on alpha stream optimization
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
Portfolio managers' pay up 8% as capital flows back to funds
Pay packets up in 2014 as average hedge fund returns 3%
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
Portfolio construction and systematic trading with factor entropy pooling
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…
Hedge fund size determines performance
AUM and performance appear intrinsically linked
Lyxor expects demand for alternatives to increase
Close relationships with hedge funds and Lyxor staff are at the heart of its reputation for independent research, asset management, its managed account platform and its other activities globally
Smart due diligence – Think ahead, plan accordingly
Sponsored Q&A: Amundi Alternative Investments
Less correlation gives stock-pickers opportunity to generate alpha
Decoupling correlations
Communicating portfolio risk intuitively and effectively
Visualising risk