Tagged Questions
6
votes
3answers
699 views
Why is the Drawdown measure not used for portfolio optimization?
I was asked yesterday by a colleague why we are doing asset allocation using optimizers which target, for a minimum expected return:
the portfolio with the minimum variance
or
the portfolio with ...
6
votes
1answer
571 views
How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio?
I am trying to get my hands on Entropy Pooling which was introduced by Meucci in this paper.
As an example, assume I want to construct a portfolio with five stocks and I have my view on CVaR.
How ...
5
votes
1answer
131 views
Are there quantitative models which can guide one's choice of target risk?
Note: This question was written for the weekly topic challenge.
Many asset allocation funds presume the investor knows his target risk level, typically on some spectrum from conservative (mostly G7 ...
