-1
votes
1answer
49 views

Math basics of Equally-weighted Risk contributions

i'm writing my BA Thesis about "Equally-weighted Risk contributions". Can anyone recommend math books for further understanding of Risk contributions?
1
vote
2answers
80 views

Controlling portfolio concentration

I'm working with a heterogenous basket of instruments (in volatility terms). Risk parity allocation seems to be useful for the portfolio( * 1/Volatility). However, there are times when the ...
1
vote
1answer
224 views

why banks shall keep short term gap position low?

I'm reading "Insights for Bank Directors" (http://www.stlouisfed.org/col/director/reference_view.htm), a good introduction to commercial banks, based on a virtual bank "Insight". It talks about Gap ...
5
votes
2answers
208 views

How many data points are required to perform a fitting of GPD?

A friend of mine told me that their firm is using Extreme Value Theory (EVT) to compute value of the Expected Shortfall 99% of a portfolio for their asset allocation process. To do so, they try to fit ...
2
votes
2answers
3k views

Risk Parity portfolio construction

If I would like to construct a fully invested long only portfolio with two asset classes (Bonds $B$ and Stocks $S$) based on the concept of 'risk parity' the weights $W$ of my portfolio would be the ...
4
votes
2answers
133 views

How do you handle short-term asset allocation with Hedge-Funds?

Assuming I want to run an optimization over a short period, say 2 years, I would decide to take daily values in order to compute the efficient frontier of a portfolio. That works fine as long as I ...