- Filter By.
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
Perspective
Response to Thomas Hoenig’s “Why ‘Risk-Based’ Capital Is Far Too Risky”
August 18, 2016
My colleagues have written a response to Thomas Hoenig's recent WSJ op-ed "Why 'Risk-Based' Capital Is Far Too Risky." Hoenig's recommended approach to managing leverage risk using a "simple" notional leverage limit reminds us of Einstein's famous purported comment to make things as simple as possible, but not simpler. The authors believe that Hoenig's approach fails to meet the Einstein test.
Trade Publication
Taking Control of Your Risk Allocation
June 3, 2015
Investors who choose risk parity are able to more fully realize the benefits of that strategy by targeting diversification and consistent total portfolio risk at each point in time.
Journal Article
Risk-Based Dynamic Asset Allocation With Extreme Tails and Correlations
July 2, 2012
Portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of asset classes.
Journal Article
Understanding Expected Returns
January 1, 2012
Investors tend to think of expected returns as a function of asset class risk, but this thinking may have led them to take on too much equity risk.
Journal Article
Which Risks Have Been Best Rewarded?
December 1, 2004
An empirical study examines the consistency of rewards for bearing various types of risks in U.S.
Journal Article
A Historical Perspective on Time-Varying Expected Returns
February 8, 2017
Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.
Journal Article
Still Not Cheap: Portfolio Protection in Calm Markets
August 3, 2015
This paper investigates the relationship between option richness and volatility across 10 global equity indices.
Journal Article
Deactivating Active Share
January 6, 2016
The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.
Journal Article
The Past and Future of Quantitative Asset Management
January 1, 2008
The defining element in quant management is diversification.
Journal Article
Multi-Period After-Tax Reporting: A Practical Solution
March 29, 2018
We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.