Categorization of Risk Premiums
January 9, 2018 - Big Ideas, Momentum Investing, Size Effect, Value Premium, Volatility Effects
What is the best way to think about reliabilities and risks of various anomaly premiums commonly that investors believe to be available for exploitation? In their December 2017 paper entitled “A Framework for Risk Premia Investing”, Kari Vatanen and Antti Suhonen present a framework for categorizing widely accepted anomaly premiums to facilitate construction of balanced investment strategies. They… Keep Reading