Title: Portfolio risk management commentary : diversifying fat tails away
Authors : Meier, Peter
Stoz, Jann
Weibel, Marc
Published in : Investment & pension Europe
Volume(Issue) : 2015
Issue : Januar
Pages : 64
Publisher / Ed. Institution : IPE
Issue Date: 2015
License (according to publishing contract) : Licence according to publishing contract
Language : English
Subjects : Fat tail; Risk management; Pension plan; Portfolio optimization
Subject (DDC) : 332.6: Investment
Abstract: Protection against tail risk became one of the primary goals of investors after the financial crisis in 2008. Instruments like options are available but too expensive for permanent protection. Another route is via risk-parity optimisation, and for this purpose a team at Zurich University has developed a risk-parity optimiser that allows investors to model tail risk and tail dependence within a core-satellite framework.
Departement: School of Management and Law
Organisational Unit: Institute of Data Analysis and Process Design (IDP)
Institute of Wealth & Asset Management (IWA)
Publication type: Contribution to magazine or newspaper
ISSN: 1369-3727
URI: https://digitalcollection.zhaw.ch/handle/11475/9942
https://www.ipe.com/investment/briefing-investment/portfolio-risk-management-commentary-diversifying-fat-tails-away/10006177.article
Appears in Collections:Publikationen School of Management and Law

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