Introducing Variety in Risk Management
نویسندگان
چکیده
“Yesterday the S&P500 went up by 3%”. Is this number telling all the story if half the stocks went up 5% and half went down 1%? Surely one can do a little better and give two figures, the average and the dispersion around this average, that two of us have recently christened the variety [1]. Call ri(t) the return of asset i on day t. The variety V(t) is simply the root mean square of the stock returns on a given day:
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