Incorporating Non-normality of Market Returns

Title:	Incorporating Non-normality of Market Returns
Date:	May 5, 2009
Speakers:	Rumi Masih, Head of Strategic Investment Advisory Group Abdullah Sheikh, Strategic Investment Advisor Susan Oh, Head of the Global Consultant Strategy Group (moderator)
Description:	J.P. Morgan's Strategic Investment Advisory Group (SIAG) has released a research paper this May, entitled, "Incorporating Non-normality of Market Returns: A Framework for Asset Allocation Decision Making." The modified risk framework provides investors with another perspective on risk management, portfolio efficiency, and asset allocation. This downside risk framework addresses three specific forms of non-normality: Serial Correlation "Fat" left tails Converging Correlations The paper also applies a well-known and robust risk measure called "Conditional Value at Risk" to quantify risk in the portfolio.
Duration:	36 min 53 sec