Modern Portfolio Management: From Markowitz to Probabilistic Scenario Optimisation (pdf)

Description

The financial markets have undergone a period of distress that has strained the trusted relationship between investors and financial advisors; new regulation has been forged to push for higher levels of transparency and risk-based communication as part of investment decision-making. This has ignited the quest for better portfolio optimisation techniques that can combine the added-value asymmetry of real products (as they strongly contributed to pre-crisis budgets) with the life-cycle requirements of investors, supported by intuitive graphical representation of seemingly complex mathematical relationships between real portfolios and products as required by regulation.