Nematrian
/


ERM Frameworks and Responses to risk [83]

Go to: Summary | Previous | Next   
Bullet points include: Ultimately portfolio allocation involves trading-off risk against return Most clearly articulated in fund management community But applies elsewhere too Qualitative or quantitative approaches And mixtures, such as reverse optimisation, and/or refinements, e.g. robust, Black-Litterman, see e.g. Kemp (2009) Most important quantitative tool is portfolio optimisation Particularly common is (constrained) quadratic optimisation, aka mean-variance Theoretically justified if investors have quadratic utilities or if returns Gaussian (more generally, elliptic), so depend just on mean and variance

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile