Risk control and especially risk measurement is increasingly becoming a major aspect of performance analysis in asset management. To address this, we suggest an explicit decomposition of portfolio risk that accounts for both active trading and variable portfolio weights. In other words, we focus our attention on what effectively contributes to the risk of the portfolio as a result of an investment decision. Discover our publications https://www.amindis.com/publications
How do you measure the risk of your financial portfolio?
Updated: Oct 21, 2019