Portfolio Construction: Risk as a profit centre

By July 2011 (Magazine)

Managing and monitoring tail risk is not just about insuring against extreme losses. Boryana Racheva-Iotova describes the potential for expected tail loss measures to feed into tactical portfolio optimisation where variance is traditionally deployed

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IPE covers a good variety of very current and relevant topics. It is good to read the high-level, independent and objective perspectives from pension funds in other European countries; many of them are dealing with the same issues as we are, so it is interesting to learn from their experiences, especially when they are ahead of where we are on the curve.

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The Netherlands
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