Sven R. Skallsjö

Independent

SCHOLARLY PAPERS

6

DOWNLOADS

290

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Simple Formulas for Portfolio Rebalancing Rules

Number of pages: 12 Posted: 26 Feb 2019
Sven R. Skallsjö
Independent
Downloads 174 (248,942)

Abstract:

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2.

Optimal Monetary Policy, the Zero Bound and the Term Structure of Interest Rates

Number of pages: 47 Posted: 03 Aug 2004
Sven R. Skallsjö
Independent
Downloads 116 (341,826)

Abstract:

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3.

Specifying and Managing Tail Risk in Portfolios - A Practical Approach

Posted: 28 May 2013 Last Revised: 27 May 2015
Pranay Gupta and Sven R. Skallsjö
Allocationmetrics Limited and Independent

Abstract:

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risk, tail risk, drawdown, intra horizon, volatility, asset allocation, portfolio construction

4.

Rethinking the Asset Allocation Approach for Plan Sponsors

Posted: 03 Feb 2013 Last Revised: 27 May 2015
Pranay Gupta and Sven R. Skallsjö
Allocationmetrics Limited and Independent

Abstract:

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asset allocation, multi-strategy, diversification

5.

Impact of Manager Compensation on Portfolio Risk and Return

Posted: 16 Oct 2007 Last Revised: 27 May 2015
Pranay Gupta and Sven R. Skallsjö
Allocationmetrics Limited and Independent

Abstract:

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hedge funds, compensation, portfolio risk, asset management

6.

Risk Management in a Multi-Strategy Framework

Posted: 04 Nov 2005 Last Revised: 27 May 2015
Pranay Gupta, Sven R. Skallsjö and Alice Krol
Allocationmetrics Limited, Independent and University of Groningen

Abstract:

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omega, allocation, multi-strategy, higher moments