As mentioned in that article, this dynamic risk management approach has a wide variety of applications.
Different kinds of floors or the inclusion of goals makes possible strategies that meet particular requirements. The inclusion of a maximum drawdown constraint, for example, is of particular interest to open-end funds, since it lessens the degree to which the investor’s performance for the entire holding period depends on the point at which they entered the fund. Thus, asset m
The week on Risk.net, December 9–15 2017Receive this by email