Portfolio Construction in a risk-based framework
Joint Spring Seminar with Inquire UK at the Shearton Hotel, Edinburgh, United Kingdom
Papers
PORTFOLIO CONSTRUCTION IN A RISK-BASED FRAMEWORK
Ed Fishwick (BlackRock)
Will My Risk Parity Strategy Outperform?
Robert M Anderson*, Stephen W Bianchi and Lisa R Goldberg (all of University of California at Berkeley)
Trade-Based Performance Performance PerformanceMeasurement: Measurement: Measurement: New Tools New Toolsfor Assessing for Assessing for Assessing Skilland Active Risk and Active Risk and Active Risk
Rick di Mascio (Inalytics Limited), Anton Lines (London Business School) and Narayan Naik* (London Business School)
Evaluating an investment manager in an uncertain world
Robin Penfold (Towers Watson)
Do Risk Models Eat Alpha? Alpha Construction in a Consistent Investment Process
Sebastian Ceria (Axioma)
Tutorial: MIDAS: a tractable approach to model data sampled at different frequencies
Eric Ghysels (University of North Carolina, Chapel Hill)
Dynamic portfolio construction - extending risk parity
James Sefton* (Imperial College, London and UBS) and David Jessop* (UBS)
Risk-based dynamic asset allocation with extreme tails and correlations
Rodney N Sullivan* (CFA Institute), Yizhi Ge and Peng Wang (both of Georgetown University Investment Office)
The World Price of Credit Risk
Gergana Jostova (George Washington University). Co-authors: Doron Avramov (Hebrew University of Jerusalem), Tarun Chordia (Goizetta Business School, Emory University) and Alexander Philipov (George Mason University)