Asset Allocation

Maximum Loss and Mean-Absolute Deviation risk measures

October 14, 2011 | systematicinvestor

During construction of typical efficient frontier, risk is usually measured by the standard deviation of the portfolio’s return. Maximum Loss and Mean-Absolute Deviation are alternative measures of risk that I will use to construct efficient frontier. I will use methods presented in Comparative Analysis of Linear Portfolio Rebalancing Strategies: ... [Read more...]

Introduction to Asset Allocation

October 12, 2011 | systematicinvestor

This is the first post in the series about Asset Allocation, Risk Measures, and Portfolio Construction. I will use simple and naive historical input assumptions for illustration purposes across all posts. In these series I plan to discuss: Maximum Loss, MAD, CVaR, CDaR, Omega Risk Measures 130:30 Long/Short portfolios and ... [Read more...]
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