tag:blogger.com,1999:blog-2568941354104807757.post5116826806863260509..comments2023-10-05T09:07:24.225-04:00Comments on Investment Performance Guy: Challenges with predicting the futureDave Spauldinghttp://www.blogger.com/profile/01777929408680234896noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-2568941354104807757.post-35118167506569530352011-04-19T21:13:43.287-04:002011-04-19T21:13:43.287-04:00Two different but both very good perspectives
An...Two different but both very good perspectives <br /><br />An excellent paper by Carol Alexander on Multi-Asset Market Risk Analysis: UK Gilts and the Banking Crisis argues that "Extreme losses during the crisis could have been predicted using (historical) data from the 1970’s."<br /><br />http://www.scribd.com/doc/45732216/CFA-Talk<br /><br />And:<br /><br />Aaron Brown's excellent article on Risk versus Portfolio Management in which he argues<br /><br />"Every year, a few thousand people discover that VaR is not a measure of risk. They always seem to think they are the first people to notice that. You don’t get good portfolios by maximizing expected return subject to a VaR constraint"<br /><br />http://www.quantnet.com/risk-versus-portfolio-management/<br /><br />For what its worth I'm somewhere in-between but that's because I am a portfolio manager first and risk manager second.Peter Urbanihttp://nz.linkedin.com/in/peterurbaninoreply@blogger.com