Publikationen und Paper's

Simulations with Exact Means and Covariances

Attilio Meucci

We present a simple method to generate scenarios from multivariate elliptical distributions where the sample mean and covariances match the respective population moments. This methodology easily applies to large numbers of scenarios and large-dimensional distributions. We show an application to the risk management of a book of options.

Meucci, Attilio,Simulations with Exact Means and Covariances(June 7, 2009). Bloomberg Portfolio Research Paper No. 2009-06-FRONTIERS. Available at SSRN:

Link: Here

Risk and Return in General: Theory and Evidence

Eric G. Falkenstein

Empirically, standard, intuitive measures of risk like volatility and beta do not generate a positive correlation with average returns in most asset classes. It is possible that risk, however defined, is not positively related to return as an equilibrium in asset markets. This paper presents a survey of data across 20 different asset classes, and presents a model highlighting the assumptions consistent with no risk premium. The key is that when agents are concerned about relative wealth, risk taking is then deviating from the consensus or market portfolio. In this environment, all risk becomes like idiosyncratic risk in the standard model, avoidable so unpriced.

Falkenstein, Eric G.,Risk and Return in General: Theory and Evidence(June 15, 2009). Available at SSRN:

Link: Here


Equity Volatility and Corporate Bond Yields

John Y. Campbell & Glen B. Taksler

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps to explain recent increases in corporate bond yields.

Campbell, John Y. and Taksler, Glen B.,Equity Volatility and Corporate Bond Yields(February 2002). Harvard Institute Research Working Paper No. 1945. Available at SSRN: or DOI: 10.2139/ssrn.301320

Link: Here





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