Wednesday Links
Falky has a new book coming out, The Missing Risk Premium: Why Low Volatility Investing Works [excerpt pdf]. He points out, "If you want to teach and publish academic papers, modern asset pricing theory is very useful, but it has about as much relevance as Das Kapital to any practitioner. If risk premiums were really ubiquitous, finance-specific tools would be valuable to hedge funds. They are not and this highlights their irrelevancy." Looks good, I'm ordering a copy.
Portfolio Management: Convex versus Concave Strategies
Good indicator: "the ratio of the middle-age cohort, age 40–49, to the old-age cohort, age 60–69 evidences that marginal asset preference is demographically driven. The middle-aged cohort has the most income to invest, but not yet the preference for capital preservation that retirees and the soon-to-retire cohort demonstrate."
Recession warning: "I observe a change of -50, a value that has previously only been represented in recessions."
Not sure how up to date this tidbit from a 2003 paper is: "Overseas insurers have been studying the question of climate change much longer than have their US counterparts (Munich Re, 1973). There is a greater tradition of science among European insurers and more staff climatologists providing analyses and corporate strategic counsel (although this work is concentrated in a few major companies). Munich Re has the largest climatology research activity within the insurance industry, with a staff of 35 people."
A breakdown of Google's top advertisers
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