Flirting with Models

Roni Israelov – High Frequency Factors, the Volatility Risk Premium, and Re-Thinking Financial Planning (S6E4)

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