Risk 2002 Europe: Risk management remains an ‘art’, says Breeden

Speaking today in Paris at the opening session of Risk 2002 Europe, Breeden did not dispute the immense importance and usefulness of pioneering work such as Markowitz portfolio theory, Sharpe ratios, Black-Scholes option pricing and the theoretical developments that followed. “However, I don’t know of a real situation where you can completely hedge away all risk. There always remains that part of risk management that is art, rather than science,” he said. Breeden analysed various US dealers’

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