A tutorial on portfolio risk management describes how to identify the primary sources of risk
in complex portfolios-the hot spots-and how to identify the trades that will reduce those risks …

Institutionelle Anleger, Fonds-und Portfoliomanager müssen Risiken eingehen, wenn sie
Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko." Risk Budgeting: Portfolio …

Active portfolio management is concerned with objectives related to the outperformance of
the return of a target benchmark portfolio. In this paper, we consider a dynamic active …

Through the past year, on-site visits to financial service firms were conducted by a team of
researchers from the Wharton Financial Institutions Center to review and evaluate their risk …

Risk budgeting has become a buzzword. While there may be no generally accepted
definition of approaches for implementation, the underlying concept of risk budgeting …

The purpose of this paper is to present results on inverse optimisation in the case of
portfolios that have been optimised under constraints. Inverse optimisation yields implied …

Optimal decision-making regarding investments is important. In this study, we examine how
an individual aims to find optimal investment policies to overcome a benchmarked opponent …

The past decade has seen a dramatic rise in the number of insolvent life insurers. The
ostensible causes of these insolvencies were myriad. Some of the insolvencies were …

Many practical problems in modern finance require an understanding of the volatility and
correlations of asset returns. Examples of such everyday problems include managing the …

Risk budgeting is the discipline of allocating risk in an investment portfolio, and is closely
related to the principles of modern portfolio theory. Its use is widespread in the investment …