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When The Wall Street Journal used a monkey to choose stocks to invest in, it failed to launch a more comprehensive experiment based on the same principle. Using a probabilistic approach in a similar way to Roy’s safety-first risk measure, we consider the probability that a randomly managed...
The practical issues that arise due to the interaction between three principal players in any quantitative strategy, namely, the alpha model, the risk model and the constraints are collectively referred to as Factor Alignment Problems (FAP). While the role of misaligned alpha factors in causing...
We propose a robust portfolio optimization approach based on Value-at-Risk (VaR)-adjusted Sharpe ratios. Traditional Sharpe ratio estimates using a limited series of historical returns are subject to estimation errors. Portfolio optimization based on traditional Sharpe ratios ignores this...
In this article, we develop a framework for asset-liability management for pension funds in a time-varying volatility environment. We use sophisticated dynamic econometric models for the variances–covariances of the asset classes in which the pension fund is investing, while for the liability...
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