How Do Investors Measure Risk?
Jonathan Berk and Jules H. Van Binsbergen
October 1, 2015
We infer which risk model investors use by looking at their capital allocation decisions. We find that investors adjust for risk using the beta of the Capital Asset Pricing Model (CAPM). Extensions to the CAPM perform poorly, implying that they do not help explain how investors measure risk.
Continue reading
Daily Archives: October 6, 2015
Using Random Portfolios To Test Asset Allocation Strategies
Last month I tested random rebalancing strategies based on dates and found that searching for optimal points through time to reset asset allocation may not be terribly productive after all. Let’s continue to probe this line of analysis by reviewing the results of randomly changing asset weights for testing rebalancing strategies.
Continue reading
Initial Guidance | 6 October 2015
● US ISM Services Index growth rate eases in September | MarketWatch
● US Labor Mkt Conditions Index falls to zero in September | St Louis Fed
● Global economic growth dips to 9-month low in September | Markit
● World Bank cuts growth forecast for East Asia | Reuters
● Former Fed Chair Bernanke blames Congress for weak recovery | NY Times
● PMI: Eurozone retail sales growth ticks up in September | Markit
● German factory orders slide in August | Bloomberg
● Australia’s central bank maintains record low rate | RTT
● PMI: India’s growth rate weakens further in September | Markit