To decide the investment policy of a pension fund, a plan sponsor first conducts an asset allocation study and then he/she hires active managers to add active return to the portfolio. In order to seek active return, a plan sponsor must necessarily accept risk. But how much risk does the ...
It will outline in what contexts these portfolio risk exposures will benefit accumulated portfolio returns and under what conditions such tail exposures will reduce portfolio returns. 展开 关键词: Currency carry trade Multivariate tail dependence Forward premium puzzle Mixture models Generalised archimedean ...
This paper explores the financial risk that trading strategies seeking to exploit a violation of the UIP condition are exposed to with respect to multivariate tail dependence present in both the funding and investment currency baskets. It will outline in what contexts these portfolio risk exposures ...
The reason why I find this note attractive is because the final coupon payment is 9%. My target return for my Citi after-tax investment portfolio was 2-4X the risk free rate (6 – 10% a year) with relatively low risk given the portfolio size is relatively large. 9% is was within my...
Multi-period Portfolio Optimisation Using a Regime-Switching Predictive Framework Chapter © 2024 Notes Here, “downside risk” refers to the risk of downside losses, relative to upside gains, under unfavorable conditions. This term is distinct from the stock-level downside risk factor that measure...