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 …

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 …

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 …

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 …

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 …

Publisher Summary This chapter surveys current research and applications of evolutionary
finance inspired by Darwinian ideas and random dynamical systems theory. This approach …

Several financial planning problems are posed as dynamic generalized network models
with stochastic parameters. Examples include: asset allocation for portfolio selection …

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 …

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 …

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 …