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Alpha Beta Blog

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Avoiding Nonlinear Risks

That can destroy your portfolio

I realized after publishing my article on risk factors that I forgot to talk about the importance of nonlinear factors and measuring your portfolio’s exposure to them.

The classic example is short vol, which is a bit like picking up dollar bills in front of a steamroller. Most of the time you end up happy with a lot of dollar bills, but if…

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Tony Yiu

Tony Yiu

Data scientist. Founder Alpha Beta Blog. Doing my best to explain the complex in plain English. Support my writing: https://tonester524.medium.com/membership

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