Attilio Meucci, SYMMYS
Attilio introduces a precise quantitative metric for diversification. The metric is based on the "Effective Number of Bets.” The bets are "Minimum Torsion Bets,” or a set of uncorrelated factors optimized to closely track the factors used to allocate the portfolio.
He discusses the advantage of the Minimum-Torsion Bets over the traditional approach to diversification based on Marginal Contributions to Risk.
Recorded: 9 Apr 2014