into question. We focus here on the risk issues raised by the classical market-capitalization weighting scheme. We propose … an approach to properly measure sovereign credit risk in a fixed-income portfolio. For that, we assume that CDS spreads … follow a SABR process and we derive a sovereign credit risk measure based on CDS spreads and duration of portfolio bonds. We …

In this article, we analyze the impact of weights constraints in portfolio theory using the seminal work of Jagannathan …

The ongoing economic crisis has profoundly changed the industry of the asset management, by putting risk management at … the heart of most investment processes. This new risk-based investment style does not rely on returns forecasts and is … variance, ERC and risk parity strategies in portfolios of several large institutional investors. These portfolio constructions …

The ongoing economic crisis has profoundly changed the industry of the asset management, by putting risk management at … the heart of most investment processes. This new risk-based investment style does not rely on returns forecasts and is … variance, ERC and risk parity strategies in portfolios of several large institutional investors. These portfolio constructions …

Portfolio construction and risk budgeting are the focus of many studies by academics and practitioners. In particular … diversification based on the decomposition of the portfolio's risk into risk factor contributions. First, we expose the relationship … between risk factor and asset contributions. Secondly, we formulate the diversification problem in terms of risk factors as an …

incorporate different assumptions about the persistence of productivity shocks, the degree of international risk sharing and …

by influence or “imposition” of non-public big organizations, nowadays, we said “objectives”, corporate, agency theory …