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Value at risk. The 5% Value at Risk of a hypothetical profit-and-loss probability density function. Value at risk ( VaR) is a measure of the risk of loss of investment/Capital. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day.
Black–Litterman model. In finance, the Black–Litterman model is a mathematical model for portfolio allocation developed in 1990 at Goldman Sachs by Fischer Black and Robert Litterman, and published in 1992. It seeks to overcome problems that institutional investors have encountered in applying modern portfolio theory in practice.
Asset allocation. Asset allocation is the implementation of an investment strategy that attempts to balance risk versus reward by adjusting the percentage of each asset in an investment portfolio according to the investor's risk tolerance, goals and investment time frame. [1] The focus is on the characteristics of the overall portfolio.
Expected shortfall ( ES) is a risk measure —a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at q% level" is the expected return on the portfolio in the worst of cases. ES is an alternative to value at risk that is more sensitive to the shape of the ...
Traditional asset allocation models that point you to fixed percentages are useful benchmarks, but you shouldn't just follow them blindly. Instead, adjust those models to fit your circumstances ...
Asset allocation is the mix of investments you own such as stocks, bonds, funds, real estate and cash. This asset allocation considers your risk tolerance and financial goals.
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