Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution
of the portfolio from available observations and computing a ‘risk measure’ that summarizes …

While it is often argued that allocation decisions can be best expressed in terms of exposure
to rewarded risk factors, as opposed to somewhat arbitrary asset class decompositions, the …

We propose a method for constructing an arbitrage‐free multiasset pricing model which is
consistent with a set of observed single‐ and multiasset derivative prices. The pricing model is …

Individual investors’ investment problems can be broadly summarised as a combination of
various wealth and/or consumption goals, subject to a set of dollar budgets, defined in terms …

Many hedge funds claim to provide significant diversification for traditional portfolios,
besides attractive returns. The authors provide empirical evidence regarding the return and …

Starting from the requirement that risk of financial portfolios should be measured in terms of
their losses, not their gains, we define the notion of loss-based risk measure and study the …

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 …

In recent years the practitioners and academic financial community has witnessed a surge
in interest in the concept of risk parity, as well as the broader concept of diversification …

We propose a simple computational method for constructing an arbitrage-free collateralized
debt obligation (CDO) pricing model which matches a prespecified set of CDO tranche …

Our setting is a Partially Observable Markov Decision Process with continuous state,
observation and action spaces. Decisions are based on a Particle Filter for estimating the belief …