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...

It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this...

The performance of dynamic trading and investment strategies can be difficult to predict. Although not without its problems, analysis of the historical performance of a strategy can provide valuable insight into its general risk and return properties. Furthermore, historical analysis allows one...

We formulate a distributionally robust optimization problem where the deviation of the alternative distribution is controlled by a φ-divergence penalty in the objective, and show that a large class of these problems are essentially equivalent to a mean-variance problem. We also show that while...

This paper discusses multi-period investment processes under parameter uncer- tainty and criteria to maximize exponential growth. Applying an information- theoretical argument, we find, for a Bernoulli process, the least biased investment strategy consistent with an expected exponential growth...

In this paper we develop a portfolio optimization strategy based on the extraction of option-implied distributions and the application of robust asset allocation. We compute the option-implied probability density functions of the constituents of the Euro Stoxx 50 Index. To obtain the...

The optimization of a large random portfolio under the Expected Shortfall risk measure with an ℓ₂ regularizer is carried out by analytical calculation. The regularizer reins in the large sample fluctuations and the concomitant divergent estimation error, and eliminates the phase transition...

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...