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
Volume 8, Issue 2 (2014)
Private bank CIO puts risk at the heart of bank's investment process
Bank benefits from strong relationship with private bank and forex
Commodity investors may have had a bad year, but putting money into commodities of finite supply continues to makes sense
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
Global Advisors co-founder believes short-term woes will give way to long-term rally
Risk function has part to play in driving market value
Investment advisers accused of lack of preparation in face of Sandy
David Harding says he has no intention to take Winton Capital Management public. He has ambitious plans to grow the business into a major investment management company as he remains at the helm