Enterprise Risk Management Slides

Risk aggregation and Extreme Events [67]

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Bullet points include: Traditional (quantitative) approach involves portfolio optimisation Typically mean-variance optimisation Identify expected return (‘alpha’) from each position Maximise expected return for a given level of risk (subject to constraints, e.g. weights sum to unity) Maximise a.r - lambda.aTVa

Bullet points include: Traditional (quantitative) approach involves portfolio optimisation Typically mean-variance optimisation Identify expected return (‘alpha’) from each position Maximise expected return for a given level of risk (subject to constraints, e.g. weights sum to unity) Maximise a.r - lambda.aTVa

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