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Multi strategies Portfolio management under risk constraints The objective of this project is to develop a tool for designing porfolio of Multi-strategies under risk constraints and budgeting.
A Risk Tool specification for traders and asset managers to master the risk under Maximum Drawdown and Value at Risk constraints, to define trading envelopes, and to allocate the risk to the different traded assets or funds using different approaches, including trader views, risk contribution equally weighted, etc ...
see also MAILLARD, S. & RONCALLI, T. & TEILETCHE, J. "On the Properties of Equally-Weighted Risk Contributions Portfolios" , September 2008. and presentation slides
Data:
  • Future Market Prices: downloads/risk-tool-assets-lasts.csv
  • Future Market Symbols: downloads/risk-tool-assets-symbols.csv
  • Typical NAV: downloads/risk-tool-nav.txt
    Tool: matrix.zip>MATRIX and LINEAR ALGEBRA Package For EXCEL see also foxes team

  • Robust Modeling for Asset Management
    Contents: review of classical approach, lack of robustness with respect to input paramters and estimation errors, resampling of the efficient frontier (boostraing), bayesian methods (Black Litterman, Shrinkage, ...), Principal Component Analysis, Random Matrix, Filtering methods (Kalman Filters, ...), efficient frontiers under risk measures (VaR, CVaR, ...) incorporating deviations from normality, Portfolio construction with transaction costs, Risk Adjusted Performance Measures, Risk Budgeting
    BIBLIOGRAPHY :
  • ALEXANDER C., "Market Risk Analysis: Quantitative Methods in Finance", Wiley 2008
    [pdf] Principal Component Analysis
  • ALEXANDER C., "Market Risk Analysis: Practical Financial Econometrics", Wiley 2008
    [pdf] Principal Component Analysis
  • LITTERMAN, R. "Modern Investment Management: An Equilibrium Approach". Wiley; 1 edition (July 3, 2003)
  • FABOZZI F. , "Financial Modeling of the Equity Market: From CAPM to Cointegration", Wiley (January 3, 2006)
  • GRINOLD, R. C & KAHN, R. N. "Active Portfolio Management" . McGraw-Hill, 1999
  • SCHERER, B. "Portfolio Construction and Risk Budgeting" . Risk Books, Feb 2007
    Portfolio Resampling and estimation error
    Bayesian Analysis and Portfolio Choice
  • SCHERER, B & MARTIN, R. D. "Introduction To Modern Portfolio Optimization With NUOPT And S-PLUS". Springer, May 2005
  • Practical works

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