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Journal Article

Risk-Based Dynamic Asset Allocation With Extreme Tails and Correlations

Portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of asset classes.

Interview

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. Engle discusses his breakthrough research on analyzing economic time series with time-varying volatility.

Interview

Words From the Wise: Martin Leibowitz Interview

A question-and-answer session with the first bond quant on Wall Street, Martin (Marty) Leibowitz of Morgan Stanley.

Interview

Words From the Wise DB Plans Glossary

This appendix provides some terminology and key concepts as background for AQR's discussion with Martin Leibowitz of Morgan Stanley.

Interview

Words From the Wise: Jack Bogle on Building a Better Investment Industry

An executive summary of the main themes explored in a question-and-answer session with John C. Bogle.

Journal Article

Measuring Global Systemic Risk: What Are Markets Saying About Risk?

Systemic market events arise with increasing frequency in our complex, adaptive and highly interconnected markets.

Interview

Words From the Wise: An AQR Interview with Ed Thorp

We sat down with Ed Thorp, a pioneer in the mathematical analysis of casino games and investing, to get his insights on an array of topics from casino gambling to quantitative investing.

Journal Article

The Limits to Arbitrage and the Low-Volatility Anomaly

Researchers have found that a strategy of buying prior low volatility stocks and selling prior high volatility risk stocks has historically generated substantial abnormal returns in the U.S.

Journal Article

The Limits to Arbitrage Revisited: The Accrual and Asset-Growth Anomalies

It is puzzling that such straightforward asset pricing anomalies like the well-publicized accruals and asset-growth effects are seemingly overlooked by investors.

Journal Article

Markets in Crisis

History has not dealt kindly with investors in the aftermath of protracted periods of low-risk premiums.