Just when you think you understand risk …
May 28, 2021
3 minutes
By Anne Cabot-Alletzhauser
this week I was asked to teach a workshop on “risk” to a group of graduate students in portfolio management. I was probably right to be concerned. I was about to walk into their classroom and blow apart everything that their highly-rated textbook (and lecturer) had been trying to impress on them.
To be fair, Modern Portfolio Theory – the portfolio theory that underpins most conventional asset management practices (and regulator strictures for anyone managing pooled assets) – is not exactly wrong. But it is incomplete. Worse, if we follow
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