This article revisits the roots of modern portfolio theory. Instead of isolating the systematic component of risk by recasting the risk in terms of a stock's beta coefficient, I decompose the SD directly into its systematic and unsystematic components. From this decomposed SD, an 'adjusted...

This paper develops empirical evidence on the viability of a form of volatility trading known as "dispersion trading." The results shed light on the efficiency with which U.S. options markets price volatility. Using end-of-day implied volatilities extracted from equity option prices for the...