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Quantifying Risks and the Role of Quantitative Management

In: Quantitative Global Bond Portfolio Management

Author

Listed:
  • Gueorgui S. Konstantinov
  • Frank J. Fabozzi
  • Joseph S. Simonian

Abstract

Portfolio management involves the management of client funds. Clients can be institutional investors such as pension funds, sovereign or sub-government entities, or individual clients either via separate accounts or through collective investment vehicles. In managing funds, a portfolio manager must estimate risks and returns, and construct a portfolio that is expected to accomplish client-specified objectives. Portfolio construction, which involves the selection of the individual securities to be held in the portfolio, can be accomplished using optimization techniques. Once a portfolio is constructed, it is continuously monitored and performance is periodically evaluated. The cornerstone of the portfolio management process is identifying the risks associated with a portfolio strategy, quantifying the identified risks, estimating those risks, and then managing those risks…

Suggested Citation

  • Gueorgui S. Konstantinov & Frank J. Fabozzi & Joseph S. Simonian, 2023. "Quantifying Risks and the Role of Quantitative Management," World Scientific Book Chapters, in: Quantitative Global Bond Portfolio Management, chapter 1, pages 3-25, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811272578_0001
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    More about this item

    Keywords

    Fixed-Income; Currency Management; Portfolio Management; Risk Management; Factors; Portfolio Optimization; Hedging; Portfolio Evaluation; Performance Attribution;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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