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

Flirting with Models

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Simulating Yield Curves in Bond Behavior

AQR has spent a lot of time and resources on building an accurate yield curve simulation model for clients. The firm is also developing new portfolio construction methods that would support the building of custom plan oriented portfolios, which requires different approach from traditional asset managers. AQR's goal is to manage thousands, maybe tens of thousands, of custom small portfolios, million dollar portfolios, two million dollar portfolios.

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