| Publication type: | Contribution to magazine or newspaper |
| Title: | Portfolio risk management commentary : diversifying fat tails away |
| Authors: | Meier, Peter Stoz, Jann Weibel, Marc |
| Published in: | Investment & Pensions Europe |
| Volume(Issue): | 2015 |
| Issue: | Januar |
| Page(s): | 64 |
| Issue Date: | 2015 |
| Publisher / Ed. Institution: | IPE |
| ISSN: | 1369-3727 |
| Language: | English |
| Subjects: | Fat tail; Risk management; Pension plan; Portfolio optimization |
| Subject (DDC): | 332.6: Investment |
| Abstract: | Protection against tail risk became one of the primary goals of investors after the financial crisis in 2008. Instruments like options are available but too expensive for permanent protection. Another route is via risk-parity optimisation, and for this purpose a team at Zurich University has developed a risk-parity optimiser that allows investors to model tail risk and tail dependence within a core-satellite framework. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/9942 https://www.ipe.com/investment/briefing-investment/portfolio-risk-management-commentary-diversifying-fat-tails-away/10006177.article |
| Fulltext version: | Published version |
| License (according to publishing contract): | Licence according to publishing contract |
| Departement: | School of Management and Law |
| Organisational Unit: | Institute of Data Analysis and Process Design (IDP) Institute of Wealth & Asset Management (IWA) |
| Appears in collections: | Publikationen School of Management and Law |
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Meier, P., Stoz, J., & Weibel, M. (2015). Portfolio risk management commentary : diversifying fat tails away. Investment & Pensions Europe, 2015(Januar), 64. https://www.ipe.com/investment/briefing-investment/portfolio-risk-management-commentary-diversifying-fat-tails-away/10006177.article
Meier, P., Stoz, J. and Weibel, M. (2015) ‘Portfolio risk management commentary : diversifying fat tails away’, Investment & Pensions Europe, 2015(Januar), p. 64. Available at: https://www.ipe.com/investment/briefing-investment/portfolio-risk-management-commentary-diversifying-fat-tails-away/10006177.article.
P. Meier, J. Stoz, and M. Weibel, “Portfolio risk management commentary : diversifying fat tails away,” Investment & Pensions Europe, vol. 2015, no. Januar, p. 64, 2015, [Online]. Available: https://www.ipe.com/investment/briefing-investment/portfolio-risk-management-commentary-diversifying-fat-tails-away/10006177.article
MEIER, Peter, Jann STOZ und Marc WEIBEL, 2015. Portfolio risk management commentary : diversifying fat tails away. Investment & Pensions Europe [online]. 2015. Bd. 2015, Nr. Januar, S. 64. Verfügbar unter: https://www.ipe.com/investment/briefing-investment/portfolio-risk-management-commentary-diversifying-fat-tails-away/10006177.article
Meier, Peter, Jann Stoz, and Marc Weibel. 2015. “Portfolio Risk Management Commentary : Diversifying Fat Tails Away.” Investment & Pensions Europe 2015 (Januar): 64. https://www.ipe.com/investment/briefing-investment/portfolio-risk-management-commentary-diversifying-fat-tails-away/10006177.article.
Meier, Peter, et al. “Portfolio Risk Management Commentary : Diversifying Fat Tails Away.” Investment & Pensions Europe, vol. 2015, no. Januar, 2015, p. 64, https://www.ipe.com/investment/briefing-investment/portfolio-risk-management-commentary-diversifying-fat-tails-away/10006177.article.
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