Roxton McNeal - Liability-Driven Investing (S4E11)
Flirting with Models
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Tail Hedging Strategies - Are They Diversifying?
We don't want to be loaded up on gamma to capture the realized if it's only implied moving. So we always want a really good combination of the different profiles that we're looking at for diversity reasons. Most of our strategies to keep them cheap have a funding leg and a hedging leg. And as long as that funding leg is the right way risk for your firm, it's easy to do.
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