A common criticism of risk models is that they have a tendency to underestimate the risk associated with optimized portfolios. Quantitative portfolio managers have historically used a variety of ad hoc...
We present a set of log-price integrated variance estimators, equal to the sum of open-high-low-close bridge estimators of spot variances within n subsequent time-step intervals. The main purpose of some...
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Dynamic option-based investment strategies are derived and discussed for investors exhibiting downside loss aversion. The problem is solved in closed form when the stock market is characterized by stochastic volatility and jumps. The expected shortfall...
For a correct aggregation of losses resulting from different risk types and, hence, a correct computation of total economic capital requirements, existing stochastic dependencies between risk-specific losses have to be considered by integrated risk measurement...
Risk budgets are frequently used to allocate the risk of a portfolio by decomposing the total portfolio risk into the risk contribution of each component position. Many approaches to portfolio allocation use ex post methods for constructing risk budgets...
Welcome to the spring 2013 issue of The Journal of Investment Strategies. You will find four papers in this issue: three research papers and one in the Investment Strategy Forum section. The research papers cover topics from high-frequency trading to...
Farid AitSahlia Warrington College of Business Administration, University of Florida The twin objectives of risk diversification and expected return maximization are essential to portfolio efficiency. However, what constitutes an appropriate measure...
The post-crisis years have been punctuated by calls for big banks to be broken up. Nothing quite that dramatic is happening, but ring-fencing proposals in Europe – and a de facto fence around foreign banks in the US – are nudging the industry towards...
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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