Timeline for Is Arithmetic Return Bias Basis of Low Vol Anomaly?
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Dec 26, 2012 at 16:48 | vote | accept | vonjd | ||
| Dec 22, 2012 at 23:39 | answer | added | Bryce | timeline score: 2 | |
| Dec 1, 2012 at 18:28 | comment | added | user3232 | Do you mean long-term? Cuz volatility for higher-returning stocks in the short-term is way higher. | |
| Jul 18, 2012 at 6:06 | comment | added | vonjd | @EduardoSahione: Have a look at the article from Falkenstein. You could for example test the CAPM for different timeframes and mean bases and see whether and when it holds. You could do the same tests for low vol strategies. | |
| Jul 17, 2012 at 22:38 | comment | added | Eduardo Sahione | Simple is better sometimes, isn't it? The identity can't lie. Moreover, how would you control for the identity? Volatility seems to be an intrinsic property of both investments and geometric means. | |
| Jul 17, 2012 at 16:35 | history | tweeted | twitter.com/#!/StackQuant/status/225267594133901312 | ||
| Jul 17, 2012 at 8:51 | history | asked | vonjd | CC BY-SA 3.0 |