Mar 7, 2017 11:00am to 1:00pm
639 Evans Hall
Happening As Scheduled
Abstract: Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call “second order risk.” We propose a risk measure that accounts for this bias. Studies of real portfolios, in asset-by-asset and factor model contexts, demonstrate that second order risk...
Speaker: Peter Shepard, MSCI (Speaker - Featured)