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Jan 21
A paper published in Management Science written by Zymler, S., Kuhn, D., and Rustem, B. Nice & Practical.

Portfolio optimization problems involving value at risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are compounded when the portfolio contains derivatives. We develop two tractable conservative approximations for the VaR of a derivative portfolio by evaluating the worst-case VaR over all return distributions of the derivative underliers with given first- and second-order moments. The derivative returns are modelled as convex piecewise linear or—by using a delta–gamma approximation—as (possibly nonconvex) quadratic functions of the returns of the derivative underliers. These models lead to new worst-case polyhedral VaR (WPVaR) and worst-case quadratic VaR (WQVaR) approximations, respectively. WPVaR serves as a VaR approximation for portfolios containing long positions in European options expiring at the end of the investment horizon, whereas WQVaR is suitable for portfolios containing long and/or short positions in European and/or exotic options expiring beyond the investment horizon. We prove that—unlike VaR that may discourage diversification—WPVaR and WQVaR are in fact coherent risk measures. We also reveal connections to robust portfolio optimization.


Journal, Working paper in PDF.
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Jan 7
A business school is a university-level institution that confers degrees in business administration. Such a school can also be known as a business college, college of business, college of business administration, school of business, school of business administration, or, colloquially, b-school. In terms of degrees these b-schools offer, there are many different types. Earning one of these degrees can help you to improve your general business knowledge as well as your leadership skills. The most popular business degrees can help you advance your career and secure positions that you cannot get with a high school diploma. Here is a list of 7 most popular degrees earned by business majors.


Via: Potomac College
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Jan 1
Gold is a chemical element with the symbol Au and atomic number 79. It is a dense, soft, malleable, and ductile metal with a bright yellow color and luster that is considered attractive, which is maintained without tarnishing in air or water. This metal has been a valuable and highly sought-after precious metal for coinage, jewelry, and other arts since long before the beginning of recorded history. Gold standards have sometimes been monetary policies, but were widely supplanted by fiat currency starting in the 1930s. The last gold certificate and gold coin currencies were issued in the U.S. in 1932. In Europe, most countries left the gold standard with the start of World War I in 1914 and, with huge war debts, did not return to gold as a medium of exchange.

Should you need to change your gold for cash, below is a guide.

Via: Porcello Estate Buyers
Dec 28
The Basel Committee on Banking Supervision has received a number of interpretation questions related to the December 2010 publication of the Basel III regulatory frameworks for capital and liquidity and the 13 January 2011 press release on the loss absorbency of capital at the point of non-viability.
basel banking
Below are three sets of frequently asked questions (FAQs) that relate to counterparty credit risk, including the default counterparty credit risk charge, the credit valuation adjustment (CVA) capital charge and asset value correlations. More sets may be forthcoming, stay tuned.

First set
Second set
Third set
Fourth set
Dec 19
Missing data imputation is a common technique many researchers have to apply for some certain situations, especially when we do some portfolio analysis that requires an equal length of historical returns of assets in the portfolio. Typically we assume a distribution of the underlying data and simulate missing data based on the assumption, MLE or EM algorithm is used for simulation. For example, a great R package I have introduced for missing data imputation was at here.

"How to Combine Long and Short Return Histories Efficiently" is a good paper forthcoming in Financial Analysts Journal by Sébastien Page, as introduced
A common challenge in portfolio risk analysis is that certain assets have shorter return histories than others. Unfortunately, many standard portfolio risk analysis techniques—including historical tail risk measurement, regime-dependent risk analysis, and bootstrapping simulations—require full return histories for all assets or risk factors. The author presents easy instructions on how to efficiently combine data for investments whose histories differ in length and offers a new model to better account for non-normal distributions.


An important feature of this paper is instead of assuming that the uncertainty around the backfilled returns is normally distributed, the model samples empirical residuals from the short sample. Evidence shows this method is efficient. The author also provides Matlab code in the Appendix for us to play around.

Paper
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