The Price of Risk

  • The Price of

    Equity Risk

    The price of risk is critical to equity factor models. This research shows that VIX are the price of equity risk. Implication:  most factor models are misspecfied.

  • The Price of

    Credit Risk

    Diversified credit risk is simply equity risk. Credit indices are more efficiently constructed with Equity and Treasury bonds.

    Implication: Investment grade credit is an unrewarded risk.

  • Asset Allocation

    & Co-integration

    Co-integration links the portfolio to the primary return drivers. while delivering mean-variance efficient portfolios.

    Implication: Markets are efficient while return & risk assumptions are unnecessary.


The doctoral research below provides an in-depth and exhaustive review of the literature on portfolio theory while presenting the empirical methods and results of the research program.


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