A generalized methodology for multi-asset class portfolios
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A CVaR Scenario-based Framework: Minimizing Downside Risk of Multi-asset Class Portfolios
Multi-asset class (MAC) portfolios can be comprised of investments in equities, fixed-income, commodities, foreign-exchange, credit, derivatives, and alternatives such as real-estate and private equity. The return for such non-linear portfolios is asymmetric with significant tail risk. The traditional Markowitz Mean-Variance Optimization (MVO) framework, that linearizes all the assets in the po...
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