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Jason Josephiac - Portable Alpha and Risk Mitigating Strategies (S6E6)
Flirting with Models
The Three Legs of a Stool for Risk Management
I really like this framework when it comes to risk management. This isn't a framework I developed, but it's this triangle of cost, convexity, and certainty. As an allocator or a manager, you can really pick two of those. And the third is decided for you. So if you want low cost with high convexITY, it's probably a strategy that's going to have very low certainty. If you want high convexity and high certainty, it's going to be more expensive. We want enough exposure across those three things without putting all of our eggs in one basket. The way we do that is by not trying to be too precise across any of those
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