Submitted by JM
Playing with Tails: The Fundamental Problem of Tails
Does it generate higher returns to buy an equal weight mix of HiVol and XOver or to buy an equal weight mix of AA (and better) and distressed debt assuming equal roll and execution costs?
This is what I call “true barbells versus center bets”. This kind of questioning is relevant to just about any financial setting. Some examples:
Assume that yields of all maturities lie precisely on your interpolated yield
No comments:
Post a Comment