We Don't Quite Know What We are Talking About When We Talk About Volatility

Finance professionals, who are regularly exposed to notions of volatility, seem to confuse mean absolute deviation with standard deviation, causing an underestimation of 25% with theoretical Gaussian variables. In some fat tailed markets the underestimation can be up to 90%. The mental substitution of the two measures is consequential for decision making and the perception of market variability

MoreLess

Year of publication:	[2017]
Authors:	Goldstein, Daniel G.
Other Persons:	Taleb, Nassim Nicholas (contributor)
Publisher:	[2017]: [S.l.] : SSRN

Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Notes:	In: Journal of Portfolio Management, Vol. 33, No. 4, 2007 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 28, 2007 erstellt
Classification:	D8 - Information and Uncertainty ; D9 - Intertemporal Choice and Growth ; E2 - Consumption, Saving, Production, Employment, and Investment ; G2 - Financial Institutions and Services ; N2 - Financial Markets and Institutions
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012746834