GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

The mean-variance portfolio optimization theory of Markowitz assumes that stock returns are distributed according to normal probability density functions (pdfs). In reality, stock returns are more accurately described by leptokurtic pdfs which have kurtosis greater than zero. Stocks with...

We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...

This paper studies the estimation of high-dimensional minimum variance portfolio (MVP) based on the high frequency returns which can exhibit heteroscedasticity and possibly be contaminated by microstructure noise. Under certain sparsity assumptions on the precision matrix, we propose estimators...

The Mean-Variance (MV) portfolio by Markowitz (1952) and the Global Minimum Variance (GMV) portfolio represent standard rules for investment decisions and both rely on estimates of the inverse of the covariance matrix of stock returns. When working in a large-scale framework, where the...

We propose a high dimensional minimum variance portfolio estimator under statistical factor models, and show that our estimated portfolio enjoys sharp risk consistency. Our approach relies on properly integrating l1 constraint on portfolio weights with an appropriate covariance matrix estimator....

1 Introduction -- 2. Financial Institutions : A Regulation review through the Risk Measurement prism -- 3. The Traditional Risk measures -- 4. Univariate and Multivariate Distributions -- 5. Extensions for Risk Measures: Univariate and Multivariate Approaches -- 6. Risks Measures and Dynamics --...