Flirting with Models cover image

Roni Israelov – High Frequency Factors, the Volatility Risk Premium, and Re-Thinking Financial Planning (S6E4)

Flirting with Models

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The Importance of Portfolio Construction and Vol Strategies

AQR came out relatively unscathed in that vault blow up, especially relative to some of the other more newsworthy organizations. We were very careful about portfolio construction and vol strategies. And one of the considerations that we had when we constructed portfolios is understanding the tail risk of individual positions.

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