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| Author: | Alexander, G.J. |
| Title: | From Markowitz to modern risk management |
| Journal: | European Journal of Finance
2009 : JUL/SEP, VOL. 15:5-6, p. 451-461 |
| Index terms: | models risk management value-at-risk |
| Freeterms: | stress testing |
| Language: | eng |
| Abstract: | Nobel Laureate Harry Markowitz is often referred to as the 'founder of Modern portfolio theory'. According to this paper's author, it is contented that he should also be referred to as the 'founder of Modern Risk Management'. This paper introduces the following: 1. value-at-risk as a measure of risk and how it relates to standard deviation, the risk measure at the heart of the model of Markowitz, 2. conditional value-at-risk, also known as expected shortfall, as a measure of risk, comparing it with VaR, and 3. in brief stress testing as a supplemental means of controlling risk. Then, conclusions are presented. |
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