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With a risk-free asset, the straight capital allocation line is the efficient frontier. In modern portfolio theory, the efficient frontier (or portfolio frontier) is an investment portfolio which occupies the "efficient" parts of the risk–return spectrum. Formally, it is the set of portfolios which satisfy the condition that no other ...
In oceanography [5] and meteorology, [6] backtesting is also known as hindcasting: a hindcast is a way of testing a mathematical model; researchers enter known or closely estimated inputs for past events into the model to see how well the output matches the known results. Hindcasting usually refers to a numerical-model integration of a ...
Expected shortfall (ES) is a risk measure —a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at q% level" is the expected return on the portfolio in the worst of cases. ES is an alternative to value at risk that is more sensitive to the shape of the ...
Portfolio Analysis. Portfolio Analysis: Advanced topics in performance measurement, risk and attribution (Risk Books, 2006. ISBN 1-904339-82-4) is an industry text written by a comprehensive selection of industry experts and edited by Timothy P. Ryan. It includes chapters from practitioners and industry authors who investigate topics under the ...
In portfolio management, the Carhart four-factor model is an extra factor addition in the Fama–French three-factor model, proposed by Mark Carhart.The Fama-French model, developed in the 1990, argued most stock market returns are explained by three factors: risk, price (value stocks tending to outperform) and company size (smaller company stocks tending to outperform).
Value at risk (VaR) is a measure of the risk of loss of investment/Capital. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day. VaR is typically used by firms and regulators in the financial industry to gauge the amount of assets needed to cover ...
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