Pim van Vliet – A Detailed Dive into Low Volatility Investing (S6E10)
Flirting with Models
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The Low Volatility Premium and the Bias Against Leverage
A lot of academic research ascribes the low volatility premium arising from the low beta phenomenon and the bias against leverage or lottery demand phenomenon. Given that it is behavioral do you think that this is something that can and risks eventually be completely arbitraged away? Yeah so it's a good one when we say behavior I think that all behavior is rational and that's interesting because some people say I have to be a very irrationalI think we all make conscious decisions like if you buy a lottery ticket you buy hope it's rational I wouldn't say or if you buying a stock it's very volatile it might even have a negative returnYeah it's still rational you're maximizing your utility which is maybe different than
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