KNOWRISK Consulting

During the recent financial crises, many financial institutions suffered losses much larger than their Value-at-Risk (VaR) models...

In a recent paper , Marcos Lopez de Prado of Hess Energy Trading Company and David H. Bailey of Lawrence Berkeley National Laboratory,...

BIZNEWS Article (South African Based) : 14th April 2020 by Alec Hogg Investment professional Peter Urbani is a rare breed. In addition...

Can you tell which is which? See how to differentiate in this Powerpoint presentation... You can purchase the corresponding spreadsheet...

By Peter Urbani, CEO KnowRisk Consulting The standard Mean Variance Optimisation(MVO) of Harry Markowitz's 1959 Modern Portfolio Theory (...

This presentation analyzes the long-run history of available distressed hedge funds showing in particular, the cyclical nature of booms...

This month we look at the impact of different objective functions on the out-of-sample performance of optimised strategy allocations and...

Most of you will be familiar with Principal Component Analysis (PCA) used mostly in fixed income models where the first three ordered...

Since the beginning of the Global Financial Crisis, average Equity market correlations have almost doubled from around 0.22 to 0.39....

This Presentation focuses on the performance of early stage Emerging Hedge Fund managers in their first 3 years of operation and before...