Original research

Mostly prior-free asset allocation

This paper develops a prior-free version of Harry Markowitz’s efficient portfolio theory, which allows the decision maker to express their preferences with regard to risk and reward, even though they are unable to express a prior over potentially…

Initial margin with risky collateral

This paper explores the complication of calculating the IM amount requirement when collateral comprises risky assets in a parametric VaR framework. The authors show that the required IM amount can be calculated by solving a quadratic inequality.

The threat of privacy

This paper is the text of a keynote address by Charles M. Kahn, presented at the Financial Market Infrastructure Conference II: New Thinking in a New Era.

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