19. Tail risks (volatility, correlation, skewness)

  1. Antti Ilmanen

Published Online: 25 MAY 2012

DOI: 10.1002/9781118467190.ch19

Expected Returns: An Investor's Guide to Harvesting Market Rewards

Expected Returns: An Investor's Guide to Harvesting Market Rewards

How to Cite

Ilmanen, A. (2011) Tail risks (volatility, correlation, skewness), in Expected Returns: An Investor's Guide to Harvesting Market Rewards, John Wiley & Sons, Ltd., Chichester, West Sussex, UK. doi: 10.1002/9781118467190.ch19

Publication History

  1. Published Online: 25 MAY 2012
  2. Published Print: 21 MAR 2011

ISBN Information

Print ISBN: 9781119990727

Online ISBN: 9781118467190

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Keywords:

  • tail risks;
  • volatility;
  • future returns;
  • volatile securities;
  • single-stock calls

Summary

This chapter contains sections titled:

  • Introduction

  • Factor history

  • Historical evidence on average asset returns vs. volatility and

  • correlation

  • Theory and evidence on the skewness premium

  • Verdict on why high-volatility assets fare so poorly

  • Time-varying premia for tail risk exposures

  • Notes