IDEAS home Printed from https://ideas.repec.org/a/pal/assmgt/v5y2004i1d10.1057_palgrave.jam.2240124.html
   My bibliography  Save this article

Risk management: Survival of the fittest

Author

Listed:
  • Jarrod Wilcox

    (Wilcox Investment, Inc.)

Abstract

This paper responds to three questions not well answered for many students of finance: (1) How do investors choose where to aim on an efficient frontier of trade-offs between portfolio expected return and risk? (2) What do investors do when return variance is inadequate as a summary of risk? (3) How can investors take into account the need to avoid interim shortfalls on the way to a more distant goal? To have great impact, the answers must be simple enough to be carried in the heads of practical investors. Since vivid examples help, the last part of this paper examines five cases: the option income fund, extreme CPPI (Constant Proportion Portfolio Insurance), the Long-Term Capital Management case, the Enron case and split capital trust funds. In each case, the discretionary wealth hypothesis is used, a reformulation of what are sometimes known as fractional Kelly strategies, to pinpoint the easily remedied blind spots that led to unexpected disappointments.

Suggested Citation

  • Jarrod Wilcox, 2004. "Risk management: Survival of the fittest," Journal of Asset Management, Palgrave Macmillan, vol. 5(1), pages 13-24, June.
    • Handle: RePEc:pal:assmgt:v:5:y:2004:i:1:d:10.1057_palgrave.jam.2240124
    DOI: 10.1057/palgrave.jam.2240124
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1057/palgrave.jam.2240124
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1057/palgrave.jam.2240124?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Agic-Sabeta, Elma, 2017. "Portfolio Insurance Investment Strategies: A Risk-Management Tool," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(2), pages 91-104.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:assmgt:v:5:y:2004:i:1:d:10.1057_palgrave.jam.2240124. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.