Composed of articles published in today's leading management publications—including
several that won Journal of Portfolio Management's prestigious Bernstein Fabozzi/Jacobs …

Quantitative risk management plays a key role in quantitative finance. Financial institutions
are typically equipped with a quantitative risk control division to evaluate the risks before …

The performance of funds by asset management companies needs to be based on an
objective benchmark. Studies related to the topic focus on measuring performance using a …

In 1994, Larry Siegel and I published an article in this journal in response to an article that
claimed that (1) mean-variance optimization (MVO), a vital part of modern portfolio theory …

Asset allocation is concerned with the development of multi--‐asset portfolio strategies that
are likely to meet an investor's objectives based on the interaction of expected returns, risk …

Publisher Summary This chapter provides an overview of post-modern portfolio theory
(PMPT) to improve investment performance measure. The tools of PMPT are—the downside …

Die klassische, von Markowitz entwickelte, Portfoliotheorie basiert auf spezifischen
Risikomaßen, der Renditevarianz bzw. der Renditestandardabweichung. Diese Risikomaße …

Among the essential activities of the Banks for the benefit of themselves and their clients
(customers), is allocation of resources that one of the essential aspects of resource …

UNIVERSITY OF GDAŃSK - FACULTY OF ECONOMICS On a Comparative Analysis of
Industrial Credit Portfolio Risk Models Versus a New S Page 1 UNIVERSITY OF GDAŃSK …

This and the next two sections will deal with non-normality (which was identified in Chapter
1 as a potential shortcoming of the traditional Markowitz framework) and its impact on …