Contrary to basic finance principles, high-beta and high-volatility stocks have long underperformed low-beta and low-volatility stocks. This anomaly may be partly explained by the fact that the typical institutional investor's mandate to beat a fixed benchmark discourages arbitrage activity in...

Arguably the most remarkable anomaly in finance is the violation of the risk‐return tradeoff within the stock market: Over the past 40 years, high volatility and high beta stocks in U.S. markets have substantially underperformed low volatility and low beta stocks. We propose an explanation...

We show that a fractional Brownian motion with H'E(0,1) can be represented as an explicit transformation of a fractional Brownian motion with index H E(0,1). In particular, when H'=1/2, we obtain a deconvolution formula (or autoregressive representation) for fractional Brownian motion. We work...

This modern and comprehensive guide to long-range dependence and self-similarity starts with rigorous coverage of the basics, then moves on to cover more specialized, up-to-date topics central to current research. These topics concern, but are not limited to, physical models that give rise to...