Harry Markowitz revolutionised investment theory with the introduction of mean-variance analysis in a 1952 essay entitled ‘Portfolio Selection’. Markowitz’s insight was to place emphasis on the correlations between securities and use diversification to minimise the ris...
A portfolio manager (PM) seeks to adjust her portfolio's contract percent shares in order to obtain the minimum 1 in 200 year return period loss for the same return.
TVaR, or not TVaR - that is the question; in the context of portfolio optimisation at least. The choice of risk measure to be minimised is of great importance as it has grave consequences on both the performance of potential optimisation algorithms and the ‘smoothness’...
