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Is Your Risk Model Letting Your Optimized Portfolio Down?

Join us for a webinar where we address the concern that some risk models used in optimization may not be forecasting risk accurately, or may be creating suboptimal portfolios. We review the main issues and explain recent innovations designed to address these problems. Understanding these issues will help managers better evaluate the adequacy of their risk models. The webinar is based on a paper of the same name.

Agenda Topics Include:

  • Why would a risk model not perform as expected when forecasting the risk of a portfolio?
  • What problems can be created by missing factors or inaccurate exposures?
  • What are the challenges in accurate estimation of factor models?
  • What special issues are faced when forecasting the risk of optimized portfolios?
  • How can these challenges be solved?

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