Showing 1 - 10 of 39
The Entropy Pooling approach is a versatile theoretical framework to process market views and generalized stress-tests into an optimal "posterior" market distribution, which is then used for risk management and portfolio management. Entropy Pooling can be implemented non-parametrically or...
Persistent link: https://www.econbiz.de/10012857486
Persistent link: https://www.econbiz.de/10003796953
Persistent link: https://www.econbiz.de/10003630993
This book provides a comprehensive treatment of all the steps of asset allocation: detecting the market invariants; estimating the invariants' distribution; modeling the market at any horizon; defining optimality; accounting for estimation- and model-risk; including the practitioner's experience...
Persistent link: https://www.econbiz.de/10002116344
Persistent link: https://www.econbiz.de/10003722675
We introduce Dynamic Entropy Pooling, a quantitative technique to perform dynamic portfolio construction with discretionary, non-synchronous views. With Dynamic Entropy Pooling, the portfolio manager can embed in the allocation process signals with life spans ranging from minutes to years,...
Persistent link: https://www.econbiz.de/10012971981
We measure the contributions to risk of a set of factors, strategies, or investments, based on "Minimum-Torsion Bets", namely a set of uncorrelated factors, optimized to closely track the factors used to allocate the portfolio. We then introduce a novel definition of contributions to risk, which...
Persistent link: https://www.econbiz.de/10013035509
How can we report returns for a swap that has zero value? How can we perform return optimization for a zero-value long-short portfolio? By introducing a suitable "basis", it is possible to extend the definition of returns to leveraged products in such a way that performance attribution and...
Persistent link: https://www.econbiz.de/10013138293
The intuitive meaning of "beta" is well known to all risk and portfolio managers: the beta is the sensitivity of the return on a given asset to a given risk factor. The applications of the "beta" are manifold, from risk computation and analysis to hedging. However, the precise definition and...
Persistent link: https://www.econbiz.de/10013142652
We introduce "factors on demand", a modular, multi-asset-class return decomposition framework that extends beyond the standard systematic-plus-idiosyncratic approach. This framework, which rests on the conditional link between flexible bottom-up estimation factor models and flexible top-down...
Persistent link: https://www.econbiz.de/10013147226