PORTFOLIO CONSTRUCTION, WHITE PAPERS

Using quantitative techniques to manage risk

by Olivier Le Marois, 2009

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Our study demonstrates that setting extreme risk budgets and using appropriate quant models can create strong value, both during periods of “business-as-usual” as well as during phases of market instability. This is possible – by taking more “business-as-usual” type risks, while using cheap and effective hedges to cover extreme risks.

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