Portfolio optimisation
Journal of Risk Volume 7 / Number 2, Winter 2005
Philippe Jorion University of California at Irvine This extended issue of The Journal of Risk reflects the variety of topics covered in financial risk management. It contains four papers on market...
Use of a linear or quadratic model to structure a portfolio to maximise or minimise yield and long-term rate sensitivity, or to increase or reduce exposure to certain industries, market sectors or macro-economic...
A new approach to optimizing or hedging a portfolio of financial instruments to reduce risk is presented and tested on applications. It focuses on minimizing conditional value-at-risk (CVaR) rather than...
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