Portfolio optimisation
Corporate statement: Sapient Global Markets
Rashed Haq, vice president, Sapient Global Markets, explains how an analytical market-based approach can improve decision-making and reduce risk for commodity firms
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...
Farid AitSahlia Warrington College of Business Administration, University of Florida The twin objectives of risk diversification and expected return maximization are essential to portfolio efficiency....
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How banks needs to consider their IT infrastructure
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More Portfolio optimisation articles
A least discrimination method for portfolio optimization: an alternative...
Black and Litterman recommend that portfolio optimization start with a reference portfolio (eg, a performance benchmark) and inferring the returns forecast that makes this portfolio optimal. Personal views on some asset returns may then be expressed as...
Volume 2/Number 1, Winter 2012/13
Arthur M. Berd BERD LLC 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...
Portfolio theory vindicated by crisis, says Markowitz
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis
Stochastic programming and stable distributions in asset-liability management...
Stochastic programming methods can be applied to portfolio optimization in the context of pension fund management. In this paper we apply stochastic programming wherein the allocations are found among various asset classes that optimize a trade-off between...
The hidden risks of optimizing bond portfolios under VAR
Value-at-risk (VaR) is increasingly replacing volatility as the main measure of risk. In this paper, we investigate the consequences when VaR is used as the relevant risk constraint in portfolio optimization. In particular, we look at bond portfolios...
The Journal of Risk Volume 9/Number 1 2006
In 1989 Francis Fukayama published a now famous essay, "The End of History?", in which he claimed that liberal democracy had triumphed as the final, and highest, form of social organization. His thesis was as long on selective use of facts and idiosyncratic...
The Journal of Risk Volume 8/Number 3 2006
It was with a mixture of keen anticipation and some trepidation that I recently agreed to become the new (and only second) editor of The Journal of Risk (JOR). It will not be easy following Professor Philippe Jorion, the first editor. He succeeded where...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
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The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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