RISK MEASUREMENT AND MANAGEMENT - Budgeting and Monitoring Pension Fund Risk - The risk-budgeting and -monitoring methods used by banks can be used by pension funds -- But only with crucial changes.
|Year of publication:||
|Authors:||Sharpe, William F.|
Financial analysts' journal : FAJ. - Charlottesville, Va : CFA Institute, ISSN 0015-198X, ZDB-ID 2194090. - Vol. 58.2002, 5, p. 74-86
Ambachtsheer, Keith P., (1990)
PORTFOLIO MANAGEMENT - Expected Utility Asset Allocation - Most asset allocation analyses use the mean-variance approach for analyzing the trade-off between risk and expected return. Analysts use quadratic programming to find optimal asset mixes and the characteristics of the capital asset pricing model to determine reasonable optimization inputs. This article presents an alternative approach in ...
Sharpe, William F., (2007)
Sharpe, William F., (1995)
- More ...