Portfolio Alpha stability and portfolio optimization models Stability and robustness of portfolio Alphas – the excess return metric – and its implication for portfolio allocation and optimization models – a short thesis on portfolio alpha stability. How stable is your portfolio alpha – introducing alpha
Higher moment Portfolio models. Skewness preference. So far in the portfolio optimization course our focus has been on single dimension analytics. With both risk and performance we have only looked at one metric at a time. While our Solver models have worked with multiple constraints,
The Life Insurance Company Portfolio Optimization Challenge solution. There are a number of changes that we need to make to our existing model before we can build the solution for life insurance portfolio optimization challenge. As mentioned earlier the insurance portfolio challenge comes with additional
Portfolio Management challenge – Life Insurance investment portfolio management The investment management function for a life insurance company faces multiple challenges. We try and address some of these challenges as part of the final problem set for the portfolio management course. The objective is to come
Index Matching Portfolio optimization Active and passive investment management styles How much value does a trader or investment manager bring to the table? In terms of alternates, an investor can simply invest in a market based index and let market performance dictate his returns. This
The difference between Beta and Alpha? The market portfolio is a unique animal. It provides an opportunity for diversification as well as ruin. Markets shift direction at short notice and while rising tides raise all boats, the true performance of a fund manager is determined
Building Excel Portfolio Management worksheets. On day one of our course on portfolio management we introduced basic concepts and challenges of portfolio management. We also introduced the securities universe we are planning to use for our five day workshop. On day two we begin building our Excel
Portfolio Management. Risk and return. What is the first image or thought that comes to your mind when you hear the term Portfolio management? Making money trading shares? Figuring out allocation of investments across a group of selected securities? Changing market prices and volatility? Capital
Trailing volatility or Volatility Trend Analysis Trailing Volatility or volatility Trend Analysis is the analysis of volatility trend lines. Volatility tends to behave in cycles. Rising volatility ultimately leads to a reversal and vice versa. The volatility trend line is a graphical representation of the
The put premium gives the conditional expectation of loss beyond the worst case loss, if the worst case loss occurred. In more friendly language this means: Value at Risk (VaR) is a point estimate for the worst case loss. It is described at a given