Journals
Pitfalls and solutions in current risk management methodology
Volume 16, Issue 5 (2014)
Diversifying risk parity
Volume 16, Issue 5 (2014)
Risk evaluation of mortgage-loan portfolios in a low interest rate environment
Volume 16, Issue 5 (2014)
The Bayesian roots of risk balancing
Risk balancing has been considered a heuristic asset allocation method. In this paper, the authors show that, on the contrary, risk balancing is a special case of a utility optimization problem with log regularization that constrains risk concentration.
Risk–return-efficient target-volatility strategies
Volume 3, Issue 3 (2014)
Two centuries of trend following
Volume 3, Issue 3 (2014)
