Books and Periodicals

Books, book chapters and trade-magazine articles written by our researchers.

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  1. We explain how risk parity is a useful strategy that raises portfolio risk-adjusted return while reducing concentration in equities.

  2. Over the last 40 years, the economy went from direct linkages mediated by simple microeconomics to human-engineered interactions among many complex entities, but almost no one noticed.

  3. AQR consultant economist Tobias Moskowitz and Sports Illustrated writer L. Jon Wertheim overturn some of the most cherished truisms of sports.

  4. Bubbles are real, and understanding them is important.

  5. Academics propose that each financial firm be charged a “tax” based on its expected loss conditional on the occurrence of a systemic crisis.

  6. Harvard Business School case study: the AQR DELTA strategy, how it captures classic hedge fund strategy returns, and how it compares to the hedge fund industry.

  7. This book presents specific, actionable strategies for investors seeking to be practical risk-takers, even in dynamic markets.

  8. Harvard Business School case study: AQR's DELTA strategy, its performance and tactical tilts.

  9. This book explains the expected returns of major asset classes, investment strategies and the effects of underlying risk factors such as growth, inflation, liquidity and risk.

  10. A review of Emanuel Derman’s book Models.Behaving.Badly, which is described an instant classic of quantitative finance and that should be read for pleasure by people uninterested in money.