Diversifcation Measurement without the Data
I take an example from the subprime CDO market to illustrate diversification measurement technique with out time series or meaningful correlation data.
I take an example from the subprime CDO market to illustrate diversification measurement technique with out time series or meaningful correlation data.
Everyone uses the word rebalance. I am done with it. Re-optimization fully dominates rebalancing. Let’s define a rebalancing action as a portfolio reallocation process where an investor recenters a portfolio back to its target allocation. The theory here in that one avoids chasing the hot assets and helps to systematically buy low and sell high. …
I am often asked what value should I target in the IPC’s. Is a value of 60% really better than a value of 50%? Here is my latest thinking; Reducing the amount of systemic exposure is indeed critical to reducing the risk experience of a portfolio. there seems to be an exponential utility decay function…
The purpose of this blog is to serve as a resource for Gsphere users and Sub-advisory clients. My plan is to build out the content on around a biweekly basis. I welcome your suggestions and comments! Thanks Jim