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# Category Archives: Risk Management

## Portfolio Improvement for the Equity Investor

Equity investors and long-only portfolio managers are constantly on the lookout for ways to improve their portfolios, either by yield enhancement, or risk reduction. In the case of yield enhancement, the principal focus is on adding alpha to the portfolio … Continue reading

Posted in Portfolio Management, Risk Management, Volatility ETF Strategy, Volatility Modeling
Tagged Portfolio Improvement, Portfolio Management
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## Crash-Protecting Your Portfolio With CrashMetrics

In a post on LinkedIn I referred to the concept of CrashMetrics and how it can be used for portfolio protection. It’s a simple approach to the management of extreme risk that works rather well. It can be summarized as … Continue reading

Posted in CAPM, CrashMetrics, Fat Tails, Risk Management
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## Measuring Toxic Flow for Trading & Risk Management

A common theme of microstructure modeling is that trade flow is often predictive of market direction. One concept in particular that has gained traction is flow toxicity, i.e. flow where resting orders tend to be filled more quickly than expected, while … Continue reading

Posted in Algorithmic Trading, ARMA, Direction Prediction, Econometrics, Econophysics, Forecasting, High Frequency Finance, Market Microstructure, Order Flow, Risk Management, Time Series Modeling, Toxic Flow
Tagged Forecasting, Market Microstructure, Order Flow, Toxic Flow
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