Quantifying Risks and the Role of Quantitative Management

Gueorgui S. Konstantinov, Frank J. Fabozzi and Joseph S. Simonian

Chapter 1 in Quantitative Global Bond Portfolio Management, 2023, pp 3-25 from World Scientific Publishing Co. Pte. Ltd.

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…

Keywords: Fixed-Income; Currency Management; Portfolio Management; Risk Management; Factors; Portfolio Optimization; Hedging; Portfolio Evaluation; Performance Attribution (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
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