A pairs trading strategy can give a larger Sharpe ratio with respect to classical methods
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
This paper analyzes five composite stock indexes to determine the different behaviors of scaling across markets.
Seesawing markets prompt speculation of big losses for structured product issuers
Activity in interbank forex set to exceed levels seen after UK referendum and Swiss franc shock
Serguei Mechkov initialises Heston model’s parameters using probability distributions
Krzysztof Wolyniec on leverage effects and volatility in commodity markets
Market and regulatory pressure is driving product innovation from insurers
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
The authors of this paper apply a forward-looking approach to the minimum variance portfolio optimization problem for a selection of 100 stocks.
The Authors introduce a closed-form approximation for the forward implied volatilities.
Bids to use bigger datasets give no better loss forecasts, says hedge fund
Skew on major indexes leaps after market wakes up to risks of UK's referendum
Sponsored video: Platts
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
Few funds have tracking-error constraints, says risk institute
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.
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
This paper analyzes empirical data for 4000 real-life trading portfolios with holding periods of about 0.7-19 trading days.