This paper proposes a generalized risk budgeting approach to portfolio construction.
Quants propose technique to include stress testing in portfolio allocation
Bilgili, Ferconi and Ulitsky propose a constrained portfolio optimisation approach incorporating stress scenarios
This paper studies centrality (interconnectedness risk) measures and their added value in an active portfolio optimization framework.
The authors of this paper aim to demystify portfolios selected by robust optimization by looking at limiting portfolios in the cases of both large and small uncertainty in mean returns.
This paper presents a method to estimate and decompose a portfolio’s risk along independent factors.
Gordon Ritter proposes a stable mean-variance optimisation for APT models
Surging availability of data lets firms with best market insight gain an edge
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.
This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.
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
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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…
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Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis