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Cogent Economics & Finance Volume 8, 2020 - Issue 1
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GENERAL & APPLIED ECONOMICS

A Fundamental Misunderstanding of Risk: The Bias Associated with the Annualized Calculation of Standard Deviation

Matthew W. Burkett1 Department of Systems Engineering and Environment, University of Virginia, Charlottesville, VA, USACorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-3156-0962View further author information
ORCID Icon &
William T. Scherer1 Department of Systems Engineering and Environment, University of Virginia, Charlottesville, VA, USAView further author information
|
David McMillan2 Systems and Information Engineering, University of Virginia, Charlottesville, VA, UKView further author information
(Reviewing editor)
Article: 1857005 | Received 29 May 2020, Accepted 22 Nov 2020, Published online: 18 Dec 2020

References

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  • Standard deviation and sharpe ratio: Morningstar methodology paper. (2005, January). (Technical Report). Morningstar. https://gladmainnew.morningstar.com/directhelp/Methodology_StDev_Sharpe.pdf
  • The Royal Swedish Academy of Sciences. (1981, October 13). This year’s prize in economics awarded for research on the financial system and its effects on inflation and employment (Press release).  Retrieved from https://www.nobelprize.org/prizes/economic-sciences/1981/press-release/
  • Tobin, J. (1965). The theory of portfolio selection. In FH Hahn and FRP Brechling (eds), The Theory of Interest Rate (pp. 3-51). London: Macmillan.

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