Active Risk Budgeting : Volatility is Not Standard Deviation

We try to show the danger of confusing the concept of volatility with that of the standard deviation of a probability distribution. We work in the theoretical Black-Scholes model to give an explicit relationship between the two measures. We apply and then illustrate this relationship, firstly in a classical value at risk approach, secondly in the determination of the risk contributions of a portfolio. We see profound differences that should not lead to the rapprochement of the volatility and the standard deviation

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Year of publication:	2010
Authors:	Leblanc, Matthieu
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Risiko \| Risk

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