Roni Israelov – High Frequency Factors, the Volatility Risk Premium, and Re-Thinking Financial Planning (S6E4)
Flirting with Models
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Terminal Wealth Dispersion Versus Volatility
You received some surprisingly strong pushback on this article. The primary critique is related to the fact that when we randomly selected stocks, we pretty much did it in the most naive way possible. And what you find is a slight reduction in terminal wealth dispersion for the sector Stratified versus the non sector stratified. But the core finding is unchanged. If you look at the plot of terminal wealth dispersive or 10% outcome as it relates to the number of names held in a portfolio, when you sector stratify, you find the same thing.
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