Browsing: optionality

Posts Tagged ‘ optionality ’

The Low Volatility Anomaly: Gunpowder Inc.

Feb 26th, 2017 | Filed under: Newly Added, CAPM / Alpha Theory, Financial Economics Theory, Hedge Funds, Structure of the Hedge Funds Industry, Finance & Economics

In a new paper David Blitz, the head of quantitative strategies for Robeco Asset Management, crunches numbers and reaches a surprising conclusion, precisely contrary to an intuitively appealing theory about the low volatility anomaly.  But … let’s begin from the beginning. Standard financial economic theory holds that investors are compensatedRead More