Alternative Investments: unsmoothing
on page 126 of Asset Allocation for Alternative Investments, paragraph 7.1.1 “Stale Pricing and Unsmoothing”:
“Because our returns are serially correlated, we want to unsmooth the returns to get a better estimate of volatility. The volatility calculated on the unsmoothed return series is 14.0%, significantly higher than the volatility estimated from the unsmoothed data.”
I assume there is a typo in the bold part, shouldn’t it say “from the smoothed data”?
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