Downside protection: how to stress-test portfolio diversification

Downside risk Different aspects of portfolio stress-testing have been explored in previous articles, including general overviews; classification; detail on specific approaches; setting up a stress-testing programme to look at downside protection and application to P1’s models.

In this article Quintin Rayer takes a closer look at stress-testing portfolio diversification using hypothetical covariance matrix tests.

Q G Rayer (2019), Downside protection: how to stress-test portfolio diversification, DISCUS, available at http://discus.org.uk/stress-testing-portfolio-diversification/, 3 pages, 14 March 2019.


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About Dr Quintin Rayer

Quintin is a Chartered Fellow of the Chartered Institute for Securities and Investments, a Chartered Wealth Manager and holds a Physics degree from Imperial College London and a Physics doctorate in atmospheric physics from Oxford University and is a Fellow of the Institute of Physics.