Asset management
Fully flexible views: theory and practice
Attilio Meucci proposes a unified methodology to input non-linear views from any number of users in fully general non-normal markets and perform, among others, stress testing, scenario analysis and ranking allocation. He walks the reader through the…
US enhances enforcement and investor protection
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Geometric mean variance
It is argued that a constrained mean variance framework is superior to Black-Litterman asset allocation, and can help an investor determine the mean excess return vector given their market views
Innovations in asset management and technology
Sponsored Statement
Uncertain certificates
Structured funds
Geometric mean variance
Asset Allocation
Global asset managers struggling with Mifid preparations
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SunGard brings out new asset-management product
SunGard launches product to cater to globalising asset management firms and their providers
Providers announce strategic alliance
Alliance struck in equity portfolio monitoring
Takeover in asset management technology systems
Acquisition in asset management software provision
Beyond Black-Litterman: views on non-normal markets
In normally distributed markets, the Black-Litterman technique allows managers to construct portfolios that account for their views on a set of expected returns. Attilio Meucci extends the technique to generic market distributions and shows an…
Basel Accord could be the model for investment firms and insurance companies
Basel II could become the model for the regulation of investment firms and insurance companies, according to Mario Draghi, governor of the Bank of Italy.
Optimal allocation to hedge funds
Lionel Martellini and Mathieu Vaissie argue that it is only by taking into account the exact nature and composition of their existing portfolio that institutional investors can maximise the benefits they can expect from investing in hedge funds. To this…
Wachovia seeks to improve risk data
Wachovia is implementing the AC Plus data management system from Dutch vendor Asset Control within its corporate investment bank to improve risk management.
Hedge funds solve the risk culture puzzle
As recent reverses amply demonstrate, risks beyond investment risk can cause even the most sophisticated hedge funds to take a battering. Navroz Patel finds out about leading managers' greatest fears, and how they are tackling thorny issues such as…
Hedging of corporate pension liabilities
Bernd Scherer here proposes a normative theory of asset/liability management that views externally funded pension funds exclusively from a corporate finance point. Standard asset management solutions are derived after the corporate finance problem has…
EU Commission considers changes to op risk framework
The EU Commission is considering modest changes to the operational risk framework of its proposed capital adequacy directive (CAD), in response to comments received to its most recent draft, according to a source within the organisation.
Trema survey highlights poor operational risk controls
Trema, the Sophia Antipolis-based provider of asset management technology, has released the results of its Asset Management STP Survey conducted between June and August this year.
Operational risk biggest threat to hedge funds
LONDON - Operational risk is the biggest threat to hedge funds in both start-ups and established firms, speakers told the Pan-European Hedge Funds Summit held in London on October 23 and 24.
Basel II Accord will reshape global banking, says Mercer Oliver Wyman
The implementation of the new Basel Accord, also called Basel II, will reshape the global banking industry, according to a report to be released this week by Mercer Oliver Wyman, a New York-based financial services strategy and risk management consulting…