Many advisors claim "stocks are safe in the long run." Haugen mathematically proves that while the average annual return converges, the dispersion of terminal wealth grows with time. The PDF contains the exact variance formulas for multi-period returns.
And the Haugen portfolio? It barely flinched. In fact, the boring utility companies went up as investors fled to safety. The undervalued Japanese trading company announced a massive buyback. By December, while the S&P 500 was down 5%, Finch’s fund was up 11%. modern investment theory robert haugen pdf
The central pillar of Modern Investment Theory is that higher risk equals higher reward. If you want to beat the market, you must buy volatile, high-beta stocks. Many advisors claim "stocks are safe in the long run
: Deep dives into diversification and the mathematical construction of efficient portfolios. Asset Pricing : Extensive evaluation of It barely flinched