Volatility timing under low-volatility strategy
The authors devise a volatility timing strategy based on statistical tests on the slope of the volatility decile portfolio return profile. Superior performance is obtained, with a 30% increase in Sharpe ratio and an order of magnitude improvement on cumulated wealth. The profitability of the volatil...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2019
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/6406 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7405/viewcontent/Volatility_timing_under_low_volatility_strategy__2_.pdf |
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| 機構: | Singapore Management University |
| 語言: | English |