Review of Kent Osband's 'Iceberg Risk'

Abstract:     
Iceberg Risk is more than a novel; indeed, it is really two books in one: each chapter covers the intuition of its subtopic first, and then delves more directly into the mathematics. Of the math, the reader is encouraged to explore about as much or as little as you want.

Part I of Iceberg Risk covers standard portfolio theory, and part II offers a unique and thoughtful approach to overcoming the deficiencies of standard risk assumptions for portfolio management.

Osband's approach to risk management is fresh and appealing. It would be worthwhile reading for risk managers and portfolio managers.

Number of Pages in PDF File: 2

Keywords: Risk, Portfolio management, Bayesian

JEL Classification: C51, C63

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