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.

 

San Francisco  |   Los Angeles  |  415-373-7152

 

©2003-2020 Capital Risk Management LLC

 

Capital Risk Management is a Registered Investment Advisor in California and may transact business there and in other states where it is notice filed or exempt.

Please note that although Capital Risk Management LLC is a Registered Investment Adviser, readers should be aware that registration with any state securities authority

does not imply a certain level of skill or training. Additional information about Capital Risk is available on the SEC’s website at www.adviserinfo.sec.gov or

through the Broker Check at FINRA.

Strategy | Investing | Asset Allocation | Liability Driven Investing | Pensions | Endowments | Enterprise Risk Management | Financial Planning | Wealth Management

Disclosures     Terms of Use     Privacy Statement      Form ADV