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The Journal of Portfolio Management

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Primary Article

Practical Risk Analysis

Ananth N Madhavan and Jian Yang
The Journal of Portfolio Management Fall 2003, 30 (1) 73-85; DOI: https://doi.org/10.3905/jpm.2003.319921
Ananth N Madhavan
A managing director and global head of trading research at Barclays Global Investors in San Francisco (CA 94105).
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  • For correspondence: ananth.madhavan@barclaysglobal.com
Jian Yang
A vice president and head of Portfolio Analytics, Financial Engineering, at ITG Inc., in Boston (MA 02210).
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  • For correspondence: jyang@itginc.com
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Abstract

Once a fairly esoteric subject, risk analysis and measurement has become a critical function for both portfolio managers and traders. Yet accurate measurement and analysis of risk presents many practical challenges, including the choice of risk model, portfolio optimization pitfalls, horizon mismatches, and out-of-sample testing. This detailed overview of recent developments in risk analysis and modeling focuses on practical applications. While risk management tools can provide invaluable insights as to portfolio risk, they must be applied with considerable care. Risk analysis, as it stands today, is as much an art as a science.

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The Journal of Portfolio Management
Vol. 30, Issue 1
Fall 2003
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Practical Risk Analysis
Ananth N Madhavan, Jian Yang
The Journal of Portfolio Management Oct 2003, 30 (1) 73-85; DOI: 10.3905/jpm.2003.319921

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Practical Risk Analysis
Ananth N Madhavan, Jian Yang
The Journal of Portfolio Management Oct 2003, 30 (1) 73-85; DOI: 10.3905/jpm.2003.319921
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