Residual Volatility and Average Returns RESEARCH
نویسندگان
چکیده
Financial theory suggests residual volatility should not be related to expected returns due to diversification. A robust portfolio construction process reduces volatility by investing in a large number of assets that span different geographies and industries. Firm-specific volatility largely washes out. What is left is systematic volatility related to common sources of return variation. Wes Crill RESEARCH Analyst
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تاریخ انتشار 2012