Sinking, Fast and Slow: Relative Volatility Versus Correlation Tightening

James Ming Chen
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James Ming Chen: Michigan State University

Chapter Chapter 7 in Postmodern Portfolio Theory, 2016, pp 107-151 from Palgrave Macmillan

Abstract: Abstract Having exhausted the descriptive potential of semideviation and other elaborations of partial statistical moments, I now return to beta as a composite statistic combining relative volatility with correlation. The bifurcation of single-sided beta into distinct components measuring changes in volatility and in correlation reveals two very different aspects of market conduct, each with its own implications for investor behavior.

Keywords: Stock Return; Supra Note; Hedge Fund; Downside Risk; Asset Class (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:pal:qpochp:978-1-137-54464-3_7

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DOI: 10.1057/978-1-137-54464-3_7

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