Portfolio Construction

Words From the Wise: Robert Engle on Portfolio Management

Topics - Portfolio Construction Portfolio Risk and Performance

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Words From the Wise: Robert Engle on Portfolio Management

This issue of Words from the Wise features an interview with Robert Engle, Nobel prize winner and father of Risk Modeling.

In the interview, we discuss with Dr. Engle his breakthrough research on analyzing economic time series with time-varying volatility. We learn about

  • His concept of autoregressive conditional heteroskedasticity (ARCH) and its generalizations;

  • How these tools have become indispensable tools for both researchers and investors in the statistical modeling of time-varying volatility; and

  • The underlying drivers of risk and the interesting inverse relationship between risk and returns.

We also discuss how volatility estimation has important applications to risk management and options pricing and how the Volatility Laboratory, or V-Lab, has become a highly sophisticated systemic risk measurement and monitoring tool for the global economy.

We further hear from Dr. Engle how receiving the Nobel Prize changed his life and how he maintains a healthy work-life balance.

We then conclude by learning about his biggest regret and his mentors and heroes.

The views and opinions are that of the interviewee and are subject to change without notice. They are not necessarily the views of AQR Capital Management, LLC its affiliates, or its employees.


This material has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such. The investment strategy and themes discussed herein may be unsuitable for investors depending on their specific investment objectives and financial situation.


Information contained herein has been obtained from sources believed to be reliable, but not guaranteed. Forward-looking statements are not guarantees of future results. They involve risks, uncertainties and assumptions, there can be no assurance that actual results will not differ materially from expectations. Past performance is no guarantee of future results. No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission from AQR.