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    Recent Posts

    The Optimal Ridge

    The Optimal Ridge

    The Efficient Surface

    The Efficient Surface

    The Efficient Frontier

    The Efficient Frontier

    Portfolio Combinatorics

    Portfolio Combinatorics

    Risk Measure?

    Risk Measure?

    Archive

    • August 2017
    • July 2017

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    The Efficient Surface

    The Efficient Surface

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

    The Efficient Frontier

    Harry Markowitz revolutionised investment theory with the introduction of mean-variance analysis in a 1952 essay entitled ‘Portfolio Selecti
    Portfolio Combinatorics

    Portfolio Combinatorics

    A portfolio manager (PM) seeks to adjust her portfolio's contract percent shares in order to obtain the minimum 1 in 200 year return per
    Risk Measure?

    Risk Measure?

    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’ of the reduction in the tail. Risk is defined as the uncertainty (or volatility) of the portfolio rate of return. Volatility in the rate of return distribution translates to volatility in the underlying loss d
     

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