Sökning: "volatility-managed portfolios"

Hittade 4 uppsatser innehållade orden volatility-managed portfolios.

1. 1. Volatility-managed portfolios in the international markets

   Master-uppsats, Stockholms universitet/Finansiering

   Författare :Soroush Hasanpour; Emil Adamsson; [2022]
   Nyckelord :Financial Markets; Asset-pricing; asset pricing; Equity; Equity Markets; Volatility; Volatility-management; international markets; Volatility pricing; Pricing anomalies;

   Sammanfattning : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. LÄS MER

3. 2. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market

   Master-uppsats, KTH/Fastighetsföretagande och finansiella system

   Författare :Erik Huss; Mario Ishak; [2022]
   Nyckelord :Residual Momentum; Volatility Management; Asset Pricing; Volatility Scaling; Momentum; Transaction Costs; Idiosynkratiskt Momentum; Riskstrategier; Tillgångsprissättning; Momentum; Transaktionskostnader;

   Sammanfattning : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. LÄS MER

4. 3. An Empirical Evaluation of Improved Volatility-Based Trading Strategies

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Raphael Bierschenk; Stefan Wennemar; [2019]
   Nyckelord :Volatility-Managed Portfolios; Volatility Timing; Moreira and Muir; Portfolio Choice; Variance Estimation;

   Sammanfattning : In 2017, Moreira and Muir published their paper "Volatility-Managed Portfolios", showing that investors can beat the market, purely by choosing their risk exposure based on the inverse of last month's realized variance. While their results are influential in nature, suggesting, against common belief, investors should take less risk in recessions, they singularly rely on realized variance as a risk measure and a fixed monthly rebalancing period. LÄS MER

5. 4. International Volatility-Managed Equity Factors

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Charles Ye; Gustav Österberg; [2018]
   Nyckelord :international asset pricing; volatility-managed portfolios; volatility timing; momentum crashes;

   Sammanfattning : Recent studies show that volatility timing works well across a number of different US asset pricing factors and for 20 developed market indices. Our study expands the literature by testing the same strategy across seven equity factors on an aggregate international level as well as for five equity factors on a country level in 24 developed markets. LÄS MER