Hot answers tagged portfolio-management
You do not state whether your evaluations will result in potentially implementing multiple strategies or just one of them. This matters because if you are going to be combining multiple ones then you need some reasonable capital allocation assumptions, which increases complexity immensely. Let's take the simpler case where you just want to choose one. ...
The correlation does not play any role for a linear portfolio, such as a CDS index, However, for a portfolio with nonlinear dependence on the loss of underlying entities, such as the case for a CDO or an $m$-th to default swap, the correlation plays a role. Here, certain techniques such as copula may be needed, depending on the complexity of the structure.
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