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q-fin.PM2014
Custom v. Standardized Risk Models
Zura Kakushadze, Jim Kyung-Soo Liew
We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but st…
q-fin.PM2014
Is It Possible to OD on Alpha?
Zura Kakushadze, Jim Kyung-Soo Liew
It is well known that combining multiple hedge fund alpha streams yields diversification benefits to the resultant portfolio. Additionally, crossing trades between different alpha…