

Roni Israelov – High Frequency Factors, the Volatility Risk Premium, and Re-Thinking Financial Planning (S6E4)
34 snips May 22, 2023
Chapters
Transcript
Episode notes
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25
Introduction
00:00 • 5min
The Importance of Volatility Risk Premium Harvesting
04:44 • 4min
The Importance of Portfolio Construction and Vol Strategies
08:26 • 2min
The Quant Quake: A History and Perspective
10:05 • 2min
The Effect of a Lower Nav on Risk Allocation
12:10 • 5min
The Role of Portfolio Construction in Correlation Between Underlying Positions
17:10 • 1min
The Convergence of Positions
18:34 • 5min
The Different Types of Alphas at Higher Frequency Factors
24:04 • 3min
The Importance of Short-Term Signals in Portfolios
27:12 • 5min
The Merton Model and Corporate Bond Returns
32:02 • 6min
The Impossible Benefits of Protective Puts
37:57 • 1min
The Cost of Tail Protection
39:06 • 5min
Equity Tail Protection Before, During, and After COVID
44:10 • 2min
The Differences Between Volatility Risk Premiums and Underlying Asset Risk Premiums
46:23 • 4min
The Compounding Effect of VRP
50:41 • 5min
How to Allocate to VRP as a Risk Premium
55:50 • 1min
How to Use Simulation to Improve Models
57:13 • 2min
The Importance of Simulation in Research
59:08 • 5min
The Transition From Buy Side Asset Management to Financial Planning
01:03:57 • 3min
Simulating Yield Curves in Bond Behavior
01:06:32 • 4min
The Importance of Risk in Wealth Optimization
01:10:44 • 5min
How Many Stocks Should You Own?
01:15:21 • 4min
Terminal Wealth Dispersion Versus Volatility
01:19:08 • 3min
How to Dry Age Beef
01:22:13 • 2min
The Ace of Swords
01:24:32 • 2min