Please enable JavaScript.
Coggle requires JavaScript to display documents.
Effective Frontier - Coggle Diagram
Effective Frontier
Efficient Frontier
Risk Factors
Volatility as Risk
VaR (normalization)
Risk Budgeting
Volatility Metric
Markowitz
Portfolio Construction
Covariance risk
Free lunch (diversification
"hidden" givens
optimize for real/normal return
Annualized term
Past is prologue for risk
Stability of covar
infinite leverage
substitutability
All factors priced effciently
Asset allocation (classes)
Credit
Equity
Real Assets
Other (non correlated w/ expected real returns
Factor Based Exposures
Credit Risk ($ flow effect failure)
EOD (event of Default)
Recovery Rate
Credit Ratings HIstory
Ratings Demand (ERISA) regulatory
NRSRO PLayers
Effective frontier (goal/dimensions)
Qauntize SDG/SBTI
CoVariance tradeoffs
Physical
Subjective cultural personal
Haircuts for
risk/repo
)
over collatoralization
Structured Finance
mortgages MBO
CDO collatoralized Debt obligatoins
Structure waterfalls
Issuer Pays
Sovreigns & central bank holdings