The Role of Portfolio Construction in Correlation Between Underlying Positions

My guest is Roni Israelov, CIO of NDVR.  Prior to NDVR, Roni was a principal at AQR Capital Management, where he worked on global risk models, high frequency factors, and lead the development and oversight of options-oriented strategies.

Taking a page from Roni’s career and research, our conversation is far ranging.  We discuss topics from global asset risk models to the application of high frequency signals to tail risk hedging.  While there are insights to glean in each of these topics, I think the conversation helps paint an insightful picture about how Roni thinks about research in general.

Towards the end of the conversation we talk about the new research Roni is tackling at NDVR, a financial advisory firm for high net worth individuals.  The role brings new challenges to consider, such as liability management and risk tolerance within the framework of portfolio optimization.  Even though the topics differ, I think you’ll hear a very common thread in how the research is performed.

Please enjoy my conversation with Roni Israelov.