Seeking Crisis Alpha – Strategic Risk Management
Excerpted with permission of the publisher, from Strategic Risk Management: Designing Portfolios and Managing Risk by Campbell R. Harvey, Sandy Rattray, and Otto Van Hemert. Used by arrangement with the Publisher. All rights reserved. Q1 2021 hedge fund letters, conferences and more Seeking Crisis Alpha - IntroductionThe idea of risk management is to provide some protection during adverse events. However, the cost of that protection must be balanced against the benefit. For example, in a strategy that uses costly long put options to eliminate the downside, the portfolio’s return should not be ...