Understanding variations in the risk of multi-strategy portfolios
Investors spend a great deal of time and effort setting a thoughtful risk budget for their portfolio,only to see all too frequently that the targeted risk will be missed by a wide margin when theinvestment process gets started. In this article, Gang Jiang, Bob Litterman and JacobRosengarten propose a simple, yet powerful, risk decomposition of the sources of the differencebetween achieved risk and budgeted risk. They also look closely at the rebalancing process inmulti-strategy portfolios, and introduce factor models to analyse the drift in correlations
Click Here To Download PDF
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Top 10 op risks: AI upends risk taxonomies
AI risk enters annual poll in fifth, but firms split over treating it as a standalone risk or a cross-cutting driver
CFTC wants to regulate prediction markets. Is it up to the task?
Former officials echo state gambling authorities’ concerns over agency’s ability to police betting risks
Top 10 op risks: Playing catch-up on geopolitical risk
Op risk managers downplayed prospect of a major conflict ahead of Iran war
Main Street to Wall Street: Kalshi’s bid to go beyond sports bets
Institutional head Andy Ross’s strategy for drawing in investors and charging for ‘wisdom-of-crowds’
When trading speed outruns governance: the split-second control gap
A new form of light-driven electronics could be the next risk in market infrastructure, explains derivatives expert
Top 10 op risks: Resilience put to the test in 2026
Firms reinforce first line, ‘nth’-party diligence, scenario analysis and vendor exit plans
Vida portfolio solutions on J.P. Morgan Markets
J.P. Morgan’s Vida portfolio solutions are being applied across financing and portfolio management, reflecting a shift towards more scalable, integrated investment infrastructure
Top 10 operational risks for 2026
Industry shares intel on biggest collective threats, as well as remedies and loss gauges
