November 2020
Intermediate to advanced
256 pages
8h 12m
English
book
Beyond Diversification: What Every Investor Needs to Know About Asset Allocation
by Sebastien Page
Content preview from Beyond Diversification: What Every Investor Needs to Know About Asset Allocation
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8
Longer-Term Risk Forecasting and Something About Dilequants
When we use standard deviation as our measure of risk, we assume that returns are normally distributed, which is not always the case, and we assume that investors follow a peculiar decision process.
—JPP
PREVIOUS RESEARCH ON MANAGED VOLATILITY AND covered call writing and Poon and Granger’s review of 93 papers on risk forecasting—the mega, multiauthor horse race I mentioned in my introduction to this risk forecasting—all focus on short-term risk forecasts, mostly between one-hour and one-month horizons. For strategic asset allocation and many tactical asset allocation processes, these forecast horizons aren’t long enough.
There also appears to be an unspoken assumption among the ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.