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Anthony Morris, Global Head of Quantitative Strategies, Nomura International

Alpha Exchange

CHAPTER

The Pitfalls of Nonlinear Strategies and Measuring Risk

This chapter examines the rise and fall of 'Capital Decimation Partners,' a hypothetical hedge fund. It explores their strategy of selling put options and the consequences that ultimately lead to their demise, while also highlighting the challenges of measuring performance in nonlinear exposure strategies.

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