- VaR is radioactive material because you’re not looking at the risk that matters most. Tail risk!
- CAPM is CRAP (Completely Redundant Asset Pricing)…
- Economists envy science and mathematics…
- Optimization (e.g. leverage) is mathematically beautiful, but in business downright dangerous…mother nature works with extensive redundancies…(two lungs kidneys etc.)
At GMO’s website (free registration required) you can find a paper based on the speech Montier delivered at the 65th Annual CFA Institute Conference in Chicago on May 6, 2012: