Normal view MARC view ISBD view

The missing risk premium: why low volatility investing works

By: Falkenstein, Eric G.
Publisher: USA CreateSpace Independent Publishing Platform 2012Description: x, 185 p.ISBN: 9781470110970.Subject(s): Finance | Investments | Risk management | FinanceDDC classification: 332.6 Summary: Risk is the deviation from the consensus rather than an exposure to a covariance, and this implies there is no risk premium in general. It also implies that when there are a large number of people buying highly volatile assets, such assets will have negative returns in equilibrium. As there are several independent motivations for people to buy highly volatile assets, intuitively risky assets generally have lower-than-average returns. This novel conception of risk implies many things more consistent with the data than the current theory. Risk taking is an important life skill, so understanding its nature is important, and unfortunately academics who study it full-time are like so many other experts: when not irrelevant, 180 degrees wrong. This book explains the current asset pricing theory, and proposes an alternative, using theory and a unique survey of the data across many asset classes. Familiarity with some MBA level finance is helpful but not necessary to appreciate this book.
Tags from this library: No tags from this library for this title. Log in to add tags.
    average rating: 0.0 (0 votes)
Item type Current location Item location Collection Call number Status Date due Barcode
Books Vikram Sarabhai Library
Slot 669 (0 Floor, West Wing) Non-fiction 332.6 F2M4 (Browse shelf) Available 180493

Risk is the deviation from the consensus rather than an exposure to a covariance, and this implies there is no risk premium in general. It also implies that when there are a large number of people buying highly volatile assets, such assets will have negative returns in equilibrium. As there are several independent motivations for people to buy highly volatile assets, intuitively risky assets generally have lower-than-average returns. This novel conception of risk implies many things more consistent with the data than the current theory.
Risk taking is an important life skill, so understanding its nature is important, and unfortunately academics who study it full-time are like so many other experts: when not irrelevant, 180 degrees wrong.
This book explains the current asset pricing theory, and proposes an alternative, using theory and a unique survey of the data across many asset classes. Familiarity with some MBA level finance is helpful but not necessary to appreciate this book.

There are no comments for this item.

Log in to your account to post a comment.

Powered by Koha