Risk Letter 1 : Volatility as a risk measure

Risk Letter

Volatility is the most widespread measure of risk. The reason of its success comes from the fact that it is easy to understand (volatility, as anyone knows, represents the deviation of an asset return from its historical mean) and also easy to compute (one can calculate volatility with a built-­in formula in a spread sheet). Common belief is that the …

Risk Letter 2 : At the in-efficiency frontier

Risk Letter

This second Active Asset Allocation « Risk Letter » looks at the delicate question of the choice of hypotheses, using the example of the efficient frontier. It touches upon the influence of an incorrect choice on asset allocation decisions and their consequences. What do pension funds and institutional investors all have in common? They all start the investment process by …