Asset allocation: Risk models for alternative investments. Financial Analysts Journal, 70(3):34-45, May/June 2014.Pedersen, N. (2014). Asset Allocation Risk Models for Alternative Investments. Boston: CFA Institute.Pedersen, Niels, Sébastien Page, and Fei He. 2014. "Asset Allocation: Risk...
Dynamic Asset Allocation in a Conditional Value-at-risk Framework The thesis first extends the original Black-Litterman model to dynamic asset allocation area by using the expected conditional equilibrium return and conditional covariances based on three volatility models (the DCC model, the EWMA model...
:Asset allocation and risk management models assume at least short-term stability of the covariance structure of asset returns, but actual covariance and correlation relationships fluctuate dramatically. Moreover, correlations tend to increase in volatile periods, which reduces the power of diversification...
Overfunded下，让资产的收益率等于负债的收益率即可。因为，Overfunded下资产的PV≥负债的PV，让他们收益...
With reference to the asset allocation application, the short term forecasting ability of the variance risk premium is tested in a real time experiment by simulating long/ short quarterly rebalanced portfolios invested in the S&P500 based on the prediction of econometric models incorporating the ...
In the French regulation case, the required solvency margin does not depend of the asset allocation. It is quite different in the Solvency 2 framework because the target capital has to control the global risk of the company. And the... F Planchet,PE Thérond 被引量: 9发表: 2010年 Capita...
Asset - allocation models serve this function, in addition to providing welcome diversity. 资产配置模型就有这个功能, 此外它们还能提供对人有益的投资多样性. 互联网 The correct risk management measures are: risk diversification and appropriateasset allocation. ...
The formulation we have developed for a moderate risk portfolio can be modified to account for other risk tolerances. If an investor can tolerate the risk of no return, the righthand sides of the minimum-return constraints would be set to 0. If an investor can tolerate a loss of 3%, the...
Written for quantitative portfolio managers and advanced students in finance and economics, this text spans all the steps of one-period allocation from fundamental theory to advanced developments. Topics covered include multivariate estimation
springer finance(共35册),这套丛书还有 《Term-Structure Models》《》《Analytically Tractable Stochastic Stock Price Models》《A Course in Derivative Securities》《Mathematical Finance - Bachelier Congress 2000》等。 喜欢读"Risk and Asset Allocation"的人也喜欢 ··· Modern Pricing of Interest-...