Words From the Wise: Robert Engle on Portfolio Management

August 25, 2016

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.



  • Interview June 11, 2016. 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.

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