This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.
This issue explores the practicality of the CVaR measure as a criterion for portfolio selection, and also discusses wavelet analysis for portfolio selection and currency option pricing.
This paper considers the portfolio optimization problem, with conditional value-at-risk as the objective.
Johnson-Omega could change the way financial firms measure portfolio performance
Novations and profit-sharing form part of push to trim derivatives valuation adjustments
The susceptibility of enterprise risk tools to poor quality data is a major issue
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.
Internal and external clients benefit from utility’s risk management skills
The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared with an all-equity portfolio. In this paper, we advocate modeling a risk-based criterion for optioned portfolio selection and rebalancing...
Corporate statement: Sapient Global Markets
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis