Dealing with Risk Factors
| Autor: | Chafic Merhy, Guillaume Simon, Florian Ielpo |
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| Rok vydání: | 2017 |
| Předmět: | |
| DOI: | 10.1016/b978-1-78548-162-8.50002-5 |
| Popis: | The ex ante future distribution of the portfolio’s P&L is the relevant objective function that a portfolio manager looks at before making an investment decision. Tracking Error Volatility (TEV) or Value at Risk (VaR) are synthetic risk statistics commonly used to measure the risk of the P&L distribution yet to come. Portfolio optimization, including mean-variance portfolios, heavily relies on the relevance of the ex ante P&L distribution. This chapter introduces key concepts regarding a sound projection of the ex ante P&L distribution and discusses the relevant modeling approaches. It brings forward the building blocks of a comprehensive framework while pointing out the pitfalls of each step. |
| Databáze: | OpenAIRE |
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