Risk and portfolio
Position sizing, diversification and risk limits, from the papers that established them.
18 notes
A Challenge Is a Barrier Option, and a Trailing Drawdown Is a Lookback
Backtesting a Value-at-Risk Model: Counting and Clustering
Betting Against Beta: Leverage Aversion as a Premium
Correlations Rise Exactly When You Need Them Low
Drawdown Stop-Outs and the Triple Penance Rule
The Expected Maximum Drawdown of a Brownian Motion
The Fundamental Law of Active Management (and why breadth is hard to buy)
The Hierarchical Structure of Markets, and What Clustering Adds
In Defence of Optimisation: the Fallacy of Equal Weighting
Leverage Aversion: Why Risk Parity Should Earn Anything at All
Managing Diversification: How Many Bets Are You Actually Making
Contagion or Interdependence: the Bias That Inflates Crisis Correlations
Optimal Investment Under a Hard Drawdown Constraint
Quantitative Risk Management: the Reference Manual
Risk-Constrained Kelly: Growth Subject to a Drawdown Limit
Risk Parity (Equal Risk Contribution)
Toward Maximum Diversification: Maximising the Diversification Ratio