Risk models are backward-looking but history won’t repeat itself
In this paper, the authors investigate the diversification benefits of iShares and their rivals (CECFs and American depositary receipts) between April 1996 and December 2004.
Recent trends in research may help firms obtain reliable correlations from limited data
The authors of this paper propose a stock selection method based on a variable selection method used with PCA in multivariate statistics.
This paper investigates a sector-rotation strategy in order to elucidate two congruent objectives.
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets
Yale duo’s theories have little in common with experience of real investors
Defying critics, Yale academics tout commodity investment in new paper
But fund not envisaged to grow larger than $500 million
QIS shows five-times increase under revised standardised approach to market risk
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Hedging threatened by treatment of liquidity and diversification, critics claim
Regulatory measures of risk would leap 133% for some positions, warns ING
Sponsored survey: Deutsche Asset & Wealth Management
Firms consider risk sharing arrangements and changes to product mix
Insurers are rethinking their investment process in terms of risk factors
Nobel prize winner Harry Markowitz says alternative investments may not deliver the diversification benefits sought by investors