Asset
Management

A constant volatility framework white paper

White Paper

A constant volatility framework for managing tail risk

By:
Nicolas Papageorgiou, PhD, Director of Quantitative Research
Alexandre Hocquard, PhD, Quantitative Research Specialist
Sunny Ng, Head of Research – Head of Alternatives Research

The recent financial crisis serves as a timely reminder of the substantial risk of investing in financial markets. It also highlights the limitations of conventional, asset allocation-based risk management strategies. Increasingly, investors are realizing the importance of mitigating tail risk in order to achieve their long-term investment objectives. This paper presents a novel, cost-effective risk management approach that employs volatility to manage tail risk.

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The white paper was recently awarded the 2010 AIMA-Canada Hillsdale Research Award for best alternatives research.  Read more.