Working Papers

A few Risk topics requiring more in-depth analysis are subject to separate working papers in the below Section. 

Maximising Wealth in Unpredictable and Irrational Financial Markets

Leverage and Exposures under the AIFM Directive

Understanding and Defining Liquidity Risk


Arithmetic Returns vs. Logarithmic Returns


Risk Management in Mutual Funds

Modelling a Custom Index: A Selection of Technical and Strategic Considerations

Picking the Right Risk-Adjusted Performance Metric

Extracting Liquidity Risk from Cross-Sectional Returns

Positive Gamma vs. Positive Convexity: A Same Interpretation?