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August 14, 2017

The 'Optimal Ridge' allows the portfolio manager to quickly evaluate optimal portfolio performance for a range of possible portfolio premiums.

August 1, 2017

For loss modelling purposes the efficient frontier is incomplete. We must include the total portfolio premium as an extra dimension.

July 31, 2017

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...

July 21, 2017

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.

July 21, 2017

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’...

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