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See http://www.princeton.edu/~yacine/leverage.pdf The leverage effect refers to the observed tendency of an asset’s volatility to be negatively correlated with the asset’s returns. Typically, rising asset prices are accompanied by declining volatility, and vice versa. The term “leverage” refers to one possible economic interpretation of this ...


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I would contrast a realized frontier depending on whether you use actual data or not. So for instance, you could create an efficient frontier and then see how it does in the future and plot the results. This likely will deviate from the initial frontier because the assumptions that you use to create the efficient frontier are different from the returns ...



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