Does it make sense to invest in low vol funds?
I just tried the same code in R’s data.tables and Julia’s DataFrames, and the results are a bit surprising.
It is easy to manipulate risk forecasts. If your regulator or compliance officer sets a risk target you don’t like, just tell them what they want to hear and continue taking the risk you like.
It is easy to criticise risk forecasting, but it’s rather pointless unless one can come up with proposals. Here are my five principles for the correct use of riskometers.
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