Index
Active weight
active exposure versus
FX exposure
implied alpha
in RM design example
solutions via mean variance
Alpha
Buffet RM strategies
enhanced MVO
estimation error
exposure versus experienced risk
fundamental investing
Garch
portfolio optimization
risk forecast expectations
separating from beta
Alpha models
APT RM system. See SunGard APT RM system
Asset association. See also Covariance matrices
copulas
estimation error
linear and nonlinear
shrinkage
Asset classes
equities (see Equities)
fixed income (see Fixed income)
multi-asset-class portfolios (see Multi-asset-class (MAC) portfolios)
Asset cross-correlation. See Correlations
AXA Rosenberg
Axioma risk models
accuracy of
Alpha Alignment Factor (AAF)
background
CAPM beta
daily updates
estimation error
exposure specification
flexibility of risk model
fundamental investing
innovations
portfolio rebalance scenario
portfolio versus security level
reporting
Baron-Adesi Whaley (BAW) options pricing
Barra. See MSCI-Barra
Berkshire Hathaway
Beta
capital asset pricing model (CAPM)
currency hedging
customized hybrid risk models
estimation error and
exposure and stationarity
factors versus
illiquid markets
multifactor models
as risk measurement
separating from alpha
Binomial tree models
Black-Scholes formula
callable bond options
original paper
stochastic differential equations
Black Swans. See also Crisis of 2008
asset association and
extinction-level events (ELEs)
RM predicting
September 2011 stress-tests
stationarity and
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