Portfolio construction problem
In this paper we develop a new approach to portfolio construction that relies solely on the covariance structure of the investment opportunity set. Using this new approach leads to an alternative to the...
More Portfolio construction problem articles
Welcome to the winter 2012/13 issue of The Journal of Investment Strategies. This issue opens the second volume and the second year of our publication. This milestone comes at a time when we are seeing a steady increase in the number of papers being submitted...
Welcome to the fourth issue of The Journal of Investment Strategies. This issue completes the first volume and the first year of our publication. We on the editorial board are proud of this achievement and are even more certain than we already were that...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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