62 search results - page 5 / 13 » Financial Portfolio Optimisation |
PC
2010
13 years 5 months ago
2010
• ‘Constructing 130/30-Portfolios with the Omega Ratio’, http://ssrn.com/abstract=1464798 (forthcoming, Journal of Asset Management), (with E. Schumann, G. di Tollo, G. Cabej...
COR
2000
13 years 7 months ago
2000
MANSCI
2008
13 years 7 months ago
2008
Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a very difficult problem....
Lecture Notes
These notes cover several topics such as Mean-Variance Frontier, Index Models, Risk Measures, CAPM, Utility-Based Portfolio Choice, CAPM Extensions
Investment for the Long Run, Te...
IOR
2008
13 years 7 months ago
2008
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...