Research
The pitfalls of risk modelling
Many portfolio managers use multi-factor models, but these are only as good as the various inputs used to construct them. MSCI looks at how flawed-model construction can result in optimised portfolios that are not efficient. The paper, Is Your Risk Model Letting Your Optimized Portfolio Down?, reveals that faulty risk models tend to underestimate risk […]
SAM RILEYAugust 31, 2012