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Jason Buck - Designing the Cockroach Portfolio (S6E1)
Flirting with Models
The Importance of Having Strong Assumptions in Portfolio Design
Portfolio design always requires some heroic assumptions about correlations and volatilities. You want to get risk factor sensitivities of the different components of the portfolio. Most people realize that like usually most people are supposed to portfolio 95 to 99% and possibly short volatility. But we try to simplify as like half our book is offense, half our book as defense.
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