This issue focuses on Cross-border extension, systemic risk and the incorporation of the time dimension into risk assessment.
This paper mathematically formalizes the concept of a temporal path-dependent risk measure in order to capture the risk associated with the temporal dimension of a stochastic process.
The papers in this issue focus on modeling dependence via copulas and on identifying independent risk factors for better portfolio risk attribution. An extension of a classical portfolio selection problem and an approach to compare mutual funds are also...
This paper explores how a defined-contribution pension fund optimally distributes wealth between a defaultable bond, a stock and a bank account, given that a salary is a stochastic process.
A computationally intensive, multimethod modeling process is undertaken to address the question of whether carbon markets can offer the desired solution of balancing initiatives for technological change while maintaining a commitment to market liberalization.
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.
This paper compares sixteen distinct country-selection strategies within a sample of seventy-eight countries between 1999-2015.
Risk teams urged not to "obsess over downside" at Swiss insurer
This paper assesses the risk inherent in wind turbine investments that rely on a power market in order to determine the selling price of generated power.
In this issue of The Journal of Computational Finance, we encounter different contemporary approximations and techniques for financial problems.
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
Investors see opportunities as utilities divest underperforming assets
Bonnefous defends investment in commodities amid market turbulence
The four papers in this issue are devoted to analyzing the design and performance of portfolio optimization methodologies, the construction of trend-following strategies, and multi-asset indexing solutions.
Rich pickings are available but market fundamentals differ from Europe and the US
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).
Black Wednesday chancellor says turmoil fears following UK withdrawal overblown