Advanced Portfolio Management. Giuseppe A. Paleologo
the reason why the idiosyncratic volatility of a diversified, long-only portfolio comprised of many stock is low, you can read the next-to-last question in the Risk FAQ (Section 4.2).
8 8 The annualized tracking vol is approximately . The annualization calculation is explained later, in Section 4.2. You can ignore the details of the calculation on a first reading.
9 9 In this event, the Prime Broker usually attempts to locate new stocks before forcing covering the position.
10 10 The Gross Market Value (GMV) of a stock is the absolute value of the Net Market Value. The GMV of a portfolio is the sum of the GMVs of the individual positions.
11 11 A car so well engineered that it managed to be ugly and burst into flames in a low-speed collision.
12 12 Famously announced in 1997, it was released in 2011. And it was still an awful game.
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