In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM), which is a non-linear version of a risk factor model...

In this paper we present and illustrate using real-life data a framework for managing an investment portfolio in which the investment opportunities are described in terms of a set of attributes and part of this set is intended to capture the effects on society. Here we link with the emerging...

Over the last decade we have witnessed the rise and fall of the so-called new economy stocks. One central question is to what extent these new firms differ from traditional firms. Empirical evidence suggests that stock returns are not normally distributed. In this article we investigate whether...

The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...

This is the specification for the Power Trading Agent Competition for 2012 (Power TAC 2012). Power TAC is a competitive simulation that models a “liberalized†retail electrical energy market, where competing business entities or “brokers†offer energy services to customers...

Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they suffer two intricate drawbacks (1) they are relative to a perr's performance and (2) the best score is generally assumed to correspond to a "good" portfolio allocation, with no...

This paper analyses the relationship between governance, asset allocation, and risk among state and local government-operated pension systems in the United States. It is argued that governance influences investment decisions and risk profiles of public sector pension systems, creating the...

Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they are known to suffer major drawbacks. Among them, two are intricate : (1) they are relative to a peer's performance and (2) the best score is generally assumed to correspond to a...

This is the specification for the Power Trading Agent Competition for 2011 (Power TAC 2011). Agents are simulations of electrical power brokers, who must compete with each other for both power production and consumption, and manage their portfolios.