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Article #1695Re: Beta/Volitility
From: David Wallace
Date: Tue, 12 Jan 1993 01:16
Date: Tue, 12 Jan 1993 01:16
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In article <1993Jan8.015037.7536@news.ysu.edu> ai428@yfn.ysu.edu (Daniel Schiffer) writes: > >Does any one no a formaula that can be used to derive volitility, as used >in a Black-Sholes formula from the beta of a stock? >Dan Schiffer It's not very likely that such a formula exists. The "investments" of stuffing your money in a mattress and using it to buy lottery tickets both have a beta of 0 (because the returns are completely uncorrelated with the market), but they have very different volatilities. Dave W. -- Dave W. (dwallace@dtc.hp.com)
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Newsgroups: sci.econ Path: arc1-ca.pugleaf.net!sparky!uunet!gatech!paladin.american.edu!howland.reston.ans.net!zaphod.mps.ohio-state.edu!sdd.hp.com!col.hp.com!news.dtc.hp.com!wallace From: wallace@dtc.hp.com (David Wallace) Subject: Re: Beta/Volitility Sender: news@news.dtc.hp.com ((Network News admin)) Message-ID: <C0pvJy.8CK@news.dtc.hp.com> Date: Tue, 12 Jan 1993 01:16:44 GMT References: <1993Jan8.015037.7536@news.ysu.edu> Organization: Hewlett-Packard Design Technology Center, Santa Clara, CA Lines: 15