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The Volatility Effect: Lower Risk Without Lower Return
David C. Blitz / Pim van. Auteur du texte Vliet
asset pricing / equity marketsResource overview

The Volatility Effect: Lower Risk Without Lower Return

Paper2007

by David C. Blitz, Pim van. Auteur du texte Vliet

Tags
asset pricingequity markets

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Understand this paper

Suggested foundations for volatility models and surfaces and asset pricing and factor research. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  4. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Factor construction

    Connect factor definitions to portfolio construction.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Advanced Derivatives and Exotic Options Explore Empirical Asset Pricing and Factor Investing

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