Options are contractual agreements that grant the holder the right, without imposing an obligation, to buy or sell a specified amount of an underlying asset at a predetermined price before…
Denoising and Detoning represent two methodologies employed to enhance the quality of covariance and correlation matrices, pivotal in applications such as portfolio optimization, risk management, and machine learning. Denoising, the process…
Full revaluation serves as an effective risk assessment approach for quantifying the potential risk exposure associated with a portfolio of derivatives. This method involves the comprehensive reassessment of the entire…
It is a method used to assess the impact of variations or changes in input parameters, assumptions, or factors on the outcomes of a risk assessment, financial model, or decision-making…
In recent years, machine learning (ML) techniques have gained popularity in the field of portfolio optimization. One ML-based method that has shown promise is the Nested Clustered Optimization Algorithm (NCO).…
The Black-Litterman asset allocation model provides a methodical way of combining an investor’s subjective views of the future performance of a risky investment asset with the views implied by the…
MPT - Modern Portfolio Theory (MPT), also known as mean-variance analysis, is a mathematical framework that aims to construct portfolios with maximum expected returns for a given level of risk.…
Portfolio construction is the art and science of building a custom investment portfolio that meets your unique needs and goals. It's a process that involves carefully selecting and combining different…
Historical Simulation is a non-parametric method used to estimate Value at Risk (VaR). It involves sorting historical returns in ascending order and identifying the loss threshold corresponding to a desired…
Value At Risk (VaR) VaR – It is a measure of the amount that can be lost from the position, portfolio, desk, bank, etc. VaR is generally understood that quantifies…