tag:blogger.com,1999:blog-7905515.post566156888816295248..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Factor Risk and ReturnEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-7905515.post-16742366595416882672020-02-11T23:34:18.894-06:002020-02-11T23:34:18.894-06:00I have a cheap book on amazon...
https://www.amazo...I have a cheap book on amazon...<br />https://www.amazon.com/Missing-Risk-Premium-Eric-Falkenstein/dp/1470110970/ref=sr_1_1?s=books&ie=UTF8&qid=1345223074&sr=1-1<br />Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-59529057073194247832020-02-11T22:56:18.700-06:002020-02-11T22:56:18.700-06:00I love this. It's fascinating to me. I have no...I love this. It's fascinating to me. I have not come across your work until now, but I'm eager to read more. I've proven mathematically that alpha and beta are inversely correlated in any market that has more positive than negative returns (see https://backland.typepad.com/investigations/2018/06/why-low-beta-outperforms.html). From there, it's not a big leap to show that the relationship between risk and return is not a linear one at all (see https://backland.typepad.com/investigations/2018/10/the-strange-relationship-of-risk-and-reward.html). So I'd be interested in hearing more about your conclusion that volatility and beta are highly correlated. Is this something that you've written about elsewhere?Yuval Taylorhttps://www.blogger.com/profile/09634855886794361402noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-54618419998378181102020-02-05T06:57:54.601-06:002020-02-05T06:57:54.601-06:00"It's not like there are $20 bills lying ..."It's not like there are $20 bills lying on the floor, but rather, a bunch of change in a fountain, and you can grab a handful if you don't mind getting soaking wet and mean looks. "<br /><br />Great line! I may steal it!Johnhttps://www.blogger.com/profile/01457388998903348000noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-7302666713764781892020-02-05T00:44:26.171-06:002020-02-05T00:44:26.171-06:00What is your preferred utility function? It could ...What is your preferred utility function? It could have explanations outside of financial economics.JoeMachttps://www.blogger.com/profile/12650518988624821388noreply@blogger.com