Alpha Beta Separation
topic on 1 show · 1 statements across 1 episodes
1 statements about Alpha Beta Separation, every show
Garcia: Separately optimizing alpha and beta risk budgets improves total plan risk-return
“And so when you separate those two things, optimize them individually, and bring them back together, what ends up happening is your alpha book tends to be quite low correlated to your beta book. And so the total risk it generates is quite low. So what you're g…”