Investor-Defined Liability Curves: Quantifying Risk Aversion

VS Quantitative Solutions LLC presents a new model for assessing the asset-liability structure of investors with strategic wealth “goals.” The model’s primary focus is on quantifying risk aversion functions rather than relying on heuristics or stylized utility functions. This results in more precise mean-variance calculations and therefore, a better framework for making asset allocation decisions.

Journal of Investment Management Vol 19, No. 2, 2021

VS Capital’s research is highlighted in the Journal of Investment Management as part of a review of the literature challenging the proposition that active investing in aggregate is a negative-sum game after costs.

The Passive vs. Active Conundrum: A New Perspective on the Arithmetic of Index Investing

Reexamining the logical underpinnings of index investing and the prospects for active management. This article presents a framework that illustrates how trading by active investors can cause index funds to experience tracking error, challenging Sharpe’s (1991) proposition that active management is inherently a zero-sum game.