Tag Archives: volatility puzzle
Elsewhere in the blogosphere this week
Markets Sex and statistics Marginal Revolution had the post Sex and Statistics or Heteroscedasticity is Hot which reports on the OkTrends post The Mathematics of Beauty. The summary is that conditional on their average beauty rating, the women with more variable ratings get more interest. The post proposes a theory that there is less competition … Continue reading
Posted in Economics, Fund management in general
Tagged forecasting, price movement, volatility puzzle
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The volatility puzzle solved?
Finance textbooks say that more volatile assets should have higher returns. The volatility puzzle is that that doesn’t always hold true. You should be getting used to textbooks not always being right. Harin de Silva gave a talk last week entitled “Low Volatility Portfolios: A Free Lunch?” at a meeting of the CFA Society of … Continue reading
