A Systematic Fund of Managed Accounts
- Peter Urbani
- Jul 30, 2011
- 1 min read
This presentation outlines the concept of a Fund of Managed Accounts as a response to current pressures in the Funds of Funds business model. It highlights the increasing demand for liquidity and transparency in investment vehicles, proposing a structure that allows for improved pricing and risk management. The use of a simulated annealing optimization algorithm for returns and risk assessments is discussed, emphasizing the need for a systematic methodology in backtesting and the potential liquidity risk premium endured by consumers.
Comments