Investments news and analysis articles - Risk.net

Asset liability management

Stress testing in non-normal markets via entropy pooling

Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing

02 Jun 2015

Asset liability management

Tail risk premiums versus pure alpha

Tail-risk skewness, rather than volatility, is correlated with risk premiums

23 Apr 2015

Asset liability management

Multiperiod portfolio selection and Bayesian dynamic models

Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable

25 Feb 2015

Asset liability management

Optimal trading under proportional transaction costs

The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal law through trading algorithm design

24 Jul 2014

Risk management

Optimal execution with a price limiter

Balancing the price uncertainty and price impact of large orders is an important issue for many market participants. While classical approaches lead to trading algorithms that are invariably price-path insensitive, in this article, Sebastian Jaimungal…

25 Jun 2014

Asset liability management

Portfolio construction and systematic trading with factor entropy pooling

Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…