Rethinking Portfolio Risk in Asset Management
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Author: Charles T. Hage, Mohican Financial Management
Existing measures of portfolio performance are leading investors to allocate capital to the wrong funds by misrepresenting risk. Current practice rests on false notions that risk can be treated separately from opportunity, risk can be derived from return distribution. Gaussian tools are valid for any return profile, volatility of returns is a proxy for risk, and returns should be adjusted for risk.
Rethinking Portfolio Risk in Asset Management