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The real holy grail : risk measurement and management

Bhansali, Vineer - In: Portable alpha theory and practice : what investors …, (pp. 225-241). 2008

Persistent link: https://www.econbiz.de/10003704045

Beyond risk parity

Bhansali, Vineer - In: The journal of investing 20 (2011) 1, pp. 137-147

Persistent link: https://www.econbiz.de/10009313286

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

CreditRisk+ model with dependent risk factors

Wang, Ruodu; Peng, Liang; Yang, Jingping - In: North American actuarial journal 19 (2015) 1, pp. 24-40

Persistent link: https://www.econbiz.de/10011420714

Custom v. standardized risk models

Kakushadze, Zura; Liew, Jim Kyung-Soo - In: Risks : open access journal 3 (2015) 2, pp. 112-138

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc …

Persistent link: https://www.econbiz.de/10011299524

Risk aggregation with dependence uncertainty

Bernhard, Carole; Jiang, Xiao; Wang, Ruodu - In: Insurance / Mathematics & economics 54 (2014), pp. 93-108

Persistent link: https://www.econbiz.de/10010259666

The risk in risk parity : a factor-based analysis of asset-based risk parity

Bhansali, Vineer; Davis, Joshua M.; Rennison, Graham; … - In: The journal of investing 21 (2012) 3, pp. 102-110

Persistent link: https://www.econbiz.de/10009672546

Active risk parity

Bhansali, Vineer - In: The journal of investing 21 (2012) 3, pp. 88-92

Persistent link: https://www.econbiz.de/10009672549

Russian-doll risk models

Kakushadze, Zura - In: The journal of asset management 16 (2015) 3, pp. 170-185

Persistent link: https://www.econbiz.de/10011413287

Active Risk Parity

Bhansali, Vineer - 2012

This paper asks a few key questions relevant for active risk parity portfolio construction. Given the dynamic nature of … within a transparent conceptual framework is critical for the continued success of risk based portfolio construction and …

Persistent link: https://www.econbiz.de/10013097379