“‘16 is the percent of protein we probably need… for most of us healthy individuals, 16% of your total energy intake should probably be protein.’”
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Said on Thriving Minds with Alberto Zandi
“We’re calculating probabilities of default… using Mertens’ model… small caps load highly on this default measure, and when default risk rises the effect becomes more pronounced.”
Maria Vasalu · Masters in Business · Balancing Conviction and Risk: Masters in Business with Maria Vassalou
Play from 21:39
21:39
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What was described
Create a default-risk measure based on Mertens’ model to quantify the probability of default for individual stocks and use it to explain the small-cap and value premiums
Said nearby on the same subject
“We manage multi-asset portfolios… strategic asset allocation of 30% currency hedged… based on a view that the Australian dollar is probably about fair value”
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Said on Equity Mates Investing Podcast
“Trying to measure a sort of whistleblowing propensity in models and having mechanisms where models have some sort of out that they can use”
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Said on "The Cognitive Revolution"
“I measure that in the data through the co-movement between bonds and stocks… pre-2000 Treasury bonds were actually quite stock-like… post-2000 they were safe… now risk has gone up again.”
CP
Carolin Pflueger and co-authors
Odd Lots ·
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