Pulling the Goalie: Hockey and Investment Implications
1 Mar 2018
Authors: Clifford S. Asness, AQR Capital Management, LLC and Aaron Brown, New York University (NYU) - Courant Institute of Mathematical Sciences; Columbia University
Cliff and Aaron build a simple, but powerful and intuitive, model for when a hockey coach should pull the goalie when trailing. When the model reports that the coaches aren’t doing it nearly early enough, we then ask why, and take away some key lessons for portfolio and risk management, and business in general.