This paper proposes using an optimization mechanism in the currency overlay portfolio construction process.
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
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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.
Internal and external clients benefit from utility’s risk management skills
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).
Pay packets up in 2014 as average hedge fund returns 3%
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...
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
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 significantly...
AUM and performance appear intrinsically linked
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
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