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...
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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.