Strategic financial risk management and operations research
Risk management has become a vital topic for financial institutions in the 1990s.
Strategically, asset/liability management systems are important tools for controlling a firm's …
Strategically, asset/liability management systems are important tools for controlling a firm's …
[图书][B] High-frequency trading: a practical guide to algorithmic strategies and trading systems
I Aldridge - 2013 - books.google.com
A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …
trading is a difficult, but profitable, endeavor that can generate stable profits in various …
[图书][B] Introduction to risk parity and budgeting
T Roncalli - 2013 - books.google.com
Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …
The Dynamics of Risk: Implications for Asset Allocation Strategies
JM Hill - The Journal of Beta Investment Strategies, 2022 - pm-research.com
Investors should have a sharper focus on the time dimension of risk and correlation metrics
for the largest asset classes of equity and debt. We explore the dynamics of risk for large cap …
for the largest asset classes of equity and debt. We explore the dynamics of risk for large cap …
Portfolio choice problems
MW Brandt - Handbook of financial econometrics: Tools and …, 2010 - Elsevier
Publisher Summary This chapter focuses on the econometric treatment of portfolio choice
problems. The goal is to describe, discuss, and illustrate through examples the different …
problems. The goal is to describe, discuss, and illustrate through examples the different …
Evolutionary finance
IV Evstigneev, T Hens, KR Schenk-Hoppé - Handbook of financial markets …, 2009 - Elsevier
Publisher Summary This chapter surveys current research and applications of evolutionary
finance inspired by Darwinian ideas and random dynamical systems theory. This approach …
finance inspired by Darwinian ideas and random dynamical systems theory. This approach …
Stochastic network programming for financial planning problems
JM Mulvey, H Vladimirou - Management science, 1992 - pubsonline.informs.org
Several financial planning problems are posed as dynamic generalized network models
with stochastic parameters. Examples include: asset allocation for portfolio selection …
with stochastic parameters. Examples include: asset allocation for portfolio selection …
Strategic asset allocation with liabilities: Beyond stocks and bonds
RPMM Hoevenaars, RDJ Molenaar… - Journal of Economic …, 2008 - Elsevier
This paper studies the strategic asset allocation for an investor with risky liabilities which are
subject to inflation and real interest rate risk and who invests in stocks, government bonds …
subject to inflation and real interest rate risk and who invests in stocks, government bonds …
Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark
S Browne - Finance and Stochastics, 1999 - Springer
We consider the portfolio problem in continuous-time where the objective of the investor or
money manager is to exceed the performance of a given stochastic benchmark, as is often …
money manager is to exceed the performance of a given stochastic benchmark, as is often …
Market timing: Style and size rotation using the VIX
MM Copeland, TE Copeland - Financial Analysts Journal, 1999 - Taylor & Francis
Changes in the Market Volatility Index (VIX) of the Chicago Board Options Exchange are
statistically significant leading indicators of daily market returns. On days that follow …
statistically significant leading indicators of daily market returns. On days that follow …