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Full-Text Articles in Social and Behavioral Sciences
Markowitz 2.0: Innovations For Asset Allocation, Singapore Management University
Markowitz 2.0: Innovations For Asset Allocation, Singapore Management University
Perspectives@SMU
The economic wreckage from the 2008 global financial crisis dealt a blow to the theoretical foundations of finance and economic. Many of these theories, such as Markowitz’s Modern Portfolio Theory (MPT), were considered received wisdom and taught in practically all business schools. But now they appeared inadequate to the task of handling the “fat-tails” and “black swans” of extreme market events. These crashes were also occurring far more often than predicted by these theories.
Risk Management In A Volatile Market, Singapore Management University
Risk Management In A Volatile Market, Singapore Management University
Perspectives@SMU
As stock markets around the world whipsaw in a manner that bewilders even the seasoned trader, an academic has suggested for financial institutions to look more closely at linking dynamic loss tail distributions to contagion modeling for effective risk management.