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
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Bonnefous defends investment in commodities amid market turbulence
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Volume 8, Issue 2 (2014)
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The 14th European Single Manager Awards recognise the best performance of managers and funds based in Europe. The judging process takes into account qualitative and quantitative criteria
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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...
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...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.