Resource Center

• Overview
• White Papers
• Academic Papers
• Risk Measures
• Hedge Funds Risk and Replication
• Factor Identification and Modeling
• Time Series
• Portfolio Construction
• Option Pricing and Model Calibration
• Credit
• Other Research Papers by the Riskdata team

• Current VaR
• Technology
• Risk Ticker
• Flash Demo

Portfolio Construction

Risk Budgeting

All of FoFiX is aimed at portfolio construction in the Risk Budgeting framework. We propose here a few primers on this fundamental investment paradigm.

Market Integration: A Risk Budgeting Guide for Pure Alpha Investors

Authors: Juliana Caicedo-Llano, Thomas Dionysopoulos
View article

Fund Selection

The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations

Authors: Alexander, Carol; Dimitriu, Anca
View article

Portfolio Optimization

Alternative Risk Measures for Alternative Investments

Authors: A. Chabaane, J-P Laurent, Y. Malevergne, F.Turpin
View article

“This is a challenging and exciting time. Risk managers and senior executives should be seeking more from risk management. Their role needs to evolve as financial institutions increasingly recognize the opportunities and value of a better understanding of risk.”

Phil Rivett
PricewaterhouseCoopers UK