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Some comments on risk

✍ Scribed by Clive W. J. Granger

Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
92 KB
Volume
17
Category
Article
ISSN
0883-7252

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Investor risk is a complicated concept in practice and is not well captured by measures of volatility as is well understood by uncertainty theory. Rather than asking statisticians to attempt to measure risk, it may be better to listen to decision theorists, but their suggestions are not very practical. Diversification is clearly helpful in reducing risk but the risk level of one portfolio cannot be measured without knowing the risks of other major portfolios. A meta‐analysis can be used to compare alternative volatility measures in terms of their forecasting utility. Copyright Β© 2002 John Wiley & Sons, Ltd.

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