Stress hedging in portfolio construction
Bilgili, Ferconi and Ulitsky propose a constrained portfolio optimisation approach incorporating stress scenarios
CLICK HERE TO VIEW THE PDF
Scenario stress testing is a useful and increasingly popular approach to assess portfolio performance under different market conditions. In this article, Mehmet Bilgili, Maurizio Ferconi and Alex Ulitsky focus on how to directly incorporate stress scenario information into portfolio construction as an additional constraint to control for potential losses and risks. To broaden the applicability of stress testing, the authors propose a robust, constrained optimisation
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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk management
Investing
How Athora uses its ties to Apollo to boost returns
European life insurer boosts returns by sourcing loan assets directly from private equity firm
Receive this by email