Improving the investment process with a custom risk model: A case study with the GLER model
K Sivaramakrishnan, RA Stubbs - The Journal of Investing, 2013 - joi.pm-research.com
The three ingredients in a mean–variance optimization model are the expected returns, the
risk model, and constraints representing the portfolio manager's mandates. Misalignment …
risk model, and constraints representing the portfolio manager's mandates. Misalignment …
More Markowitz Efficient Portfolios Featuring the USER Data and an Extension to Global Data and Investment Universes
JB Guerard, Jr, JB Guerard - Introduction to Financial Forecasting in …, 2013 - Springer
In the previous chapter, we used the Barra Aegis system to create and measure portfolios
using the USER model. The Barra Model is referred as a fundamental risk model because …
using the USER model. The Barra Model is referred as a fundamental risk model because …