May 2016

  • May 17, 2016

    Recording- Optimizing Multi-Asset Class Portfolios to Minimize Downside Risk: a CVar Based Approach

    Presenters: Kartik Sivaramakrishnan, Senior Researcher
    Robert Stamicar, Senior Director, Risk Management Research

    One of the most challenging problems in finance is optimizing a non-linear, multi-asset class portfolio. The return is skewed with a long left tail, and the traditional Markowitz mean-variance optimization framework does not accurately capture the risk. If an investor has constructed such a portfolio with hedging instruments, how can he minimize downside risk? We consider using a scenario-based "conditional value-at-risk" (CVaR) approach.

    Recording Here!