Evaluation of Portfolios Linking Risk and Return
More than a decade after the letdown of risk management in cases such as Barings PLC, Metallgesellschaft and Orange County, risk management has evolved a lot, but there is still a long way to go. From Bernoulli’s experiment to Miller and Modigliani’s Portfolio Theory and Fama and French’s 3 factor model, the latest trend in risk management is Value-at-Risk. Most of the existing research focuses […]