My guest today is Campbell Harvey, a finance professor at Duke university, and research associate with the National Bureau of Economic Research in Massachusetts. His research papers on these subjects have been published in many scientific journals.
The topic is Trend Following.
In this episode of Trend Following Radio we discuss:
- Survivorship bias, and not being fooled by randomness
- Why people with higher risk tolerance experience much higher upsides
- Understanding process vs. outcome
- The difference between volatility and skew
- The importance of recognizing that asset returns are rarely “normally distributed”
- When it is appropriate to apply a general framework, and when it is not
- The Sharpe ratio – is it always relevant?
- Harry Markowitz, Jim Simons, and Nassim Taleb
“These people that are taking a lot of risk, with enough luck, will rise to the top. The person that is risk-averse is stuck in the middle” – Campbell Harvey
Mentions & Resources:
- “Evaluating Trading Strategies” paper by Campbell Harvey
- “Managerial Attitudes and Corporate Actions” paper by Campbell Harvey on risk tolerance in CEOs
- A list Campbell Harvey’s research papers
- Harry Markowitz’ nobel prize winning paper on selecting and optimizing portfolio
- Harry Markowitz interview with Michael Covel
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