Targeted Return Portfolio Construction
Abstract
This seminal work introduces a portfolio construction framework for risk-averse investors that aims to meet, or exceed, a return objective or liability coverage obligation. The author presents Skew-Risk Modeling, a practical application of Targeted Return Portfolio Construction designed to enable the investor to efficiently manage a portfolio that has a target return objective. The innovation of the Liability-Skew Ratio is also presented; it...
Paper Details
Title
Targeted Return Portfolio Construction
Published Date
Jul 31, 2019
Journal
Volume
28
Issue
5
Pages
102 - 121
Citation AnalysisPro
You’ll need to upgrade your plan to Pro
Looking to understand the true influence of a researcher’s work across journals & affiliations?
- Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
- Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.
Notes
History