Portfolio
Notes on alpha stream optimization
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
Portfolio managers' pay up 8% as capital flows back to funds
Pay packets up in 2014 as average hedge fund returns 3%
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
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…
Hedge fund size determines performance
AUM and performance appear intrinsically linked
Lyxor expects demand for alternatives to increase
Close relationships with hedge funds and Lyxor staff are at the heart of its reputation for independent research, asset management, its managed account platform and its other activities globally
Smart due diligence – Think ahead, plan accordingly
Sponsored Q&A: Amundi Alternative Investments
Less correlation gives stock-pickers opportunity to generate alpha
Decoupling correlations
Communicating portfolio risk intuitively and effectively
Visualising risk
Banks still battling with sales-driven culture, survey finds
Latest EY risk management survey finds risk culture questions remain
Amundi puts emphasis on advisory functions
Sponsored Q&A: Amundi Alternative Investments
Regulation, quantification and cyber risk at Zurich
Why we quantify
Enterprise-wide risk management: The power of cashflow-based metrics
Finding the best approach
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Cutting edge introduction
A popular copula
Valuing wind power: IPR-GDF Suez's Rajan
Karthik Rajan, senior director, strategy portfolio and risk management group at IPR-GDF Suez North America, discusses how elements of commodity risk management can be integrated into the valuation of long-term wind power portfolios