We introduce "factors on demand", a modular, multi-asset-class return decomposition framework that extends beyond the standard systematic-plus-idiosyncratic approach. This framework, which rests on the conditional link between flexible bottom-up estimation factor models and flexible top-down...

While it is often argued that allocation decisions can be best expressed in terms of exposure to rewarded risk factors, as opposed to somewhat arbitrary asset class decompositions, the practical implications of this paradigm shift for the optimal design of the policy portfolio still remain...

We present “The Prayer”, a recipe of ten sequential steps for all portfolio managers, risk managers, algorithmic traders across all asset classes and all investment horizons, to model and manage the P&L distribution of their positions.For each of the ten steps of the Prayer, we introduce all...

Exercises and case studies for a rigorous approach to risk- and portfolio-management. This booklet stems from the review sessions of the six-day ARPM bootcamp.Contents include:Advanced multivariate statistics; copula-marginal decompositionAnnualization/projection (FFT, cumulants,...

We review the main approaches to dynamically reallocate capital between a risky portfolio and a risk-free account: expected utility maximization; option-based portfolio insurance (OBPI); and drawdown control, closely related to constant proportion portfolio insurance (CPPI). We present a...