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 ...
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 ...
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 ...