Roni Israelov – High Frequency Factors, the Volatility Risk Premium, and Re-Thinking Financial Planning (S6E4)
Flirting with Models
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The Merton Model and Corporate Bond Returns
Sally Kohn: You've written a large number of research papers that have found their way into leading industry journals. But which is your favorite paper and why? She says she was fascinated by the contradiction between shorting volatility within corporate bonds and shorting volatility in option markets. Kohn: I wanted to understand how much performance were these bonds getting from their equity portfolio allocation.
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