volatility-anomaly

  1. Nicole Seaman

    P2.T9.21.2. Ang's volatility and risk anomalies

    Learning objectives: Describe issues that arise when measuring alphas for nonlinear strategies. Compare the volatility anomaly and the beta anomaly and analyze evidence of each anomaly. Describe potential explanations for the risk anomaly. Questions: 21.2.1. Robert runs a portfolio with a...
  2. Nicole Seaman

    P2.T8.706. Alpha, style analysis and the risk anomaly (Ang)

    Learning objectives: Explain how to measure time-varying factor exposures and their use in style analysis. Describe issues that arise when measuring alphas for nonlinear strategies. Compare the volatility anomaly and beta anomaly, and analyze evidence of each anomaly. Describe potential...
    • Nicole Seaman
    • Thread
    • alpha ang beta-anomaly nonlinear-strategies risk anomaly risk-anomaly style-analysis time-varying-factor-exposures volatility-anomaly
    • Replies: 0
    • Forum: FRM® Practice Questions
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