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.
More Portfolio optimisation articles
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 crit...
Corporate statement: Sapient Global Markets
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...
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...
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis
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....
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.