Further evidence in support of a low-volatility anomaly : optimizing buy-and-hold portfolios by minimizing historical aggregate volatility
Phil Maguire, Stephen Kelly, Robert Miller, Philippe Moser, Philip Hyland, Rebecca Maguire
| Year of publication: |
July 2017
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|---|---|
| Authors: | Maguire, Phil ; Kelly, Stephen ; Miller, Robert ; Moser, Philippe ; Hyland, Philip ; Maguire, Rebecca |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 18.2017, 4, p. 326-339
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| Subject: | low-volatility anomaly | portfolio optimization | buy-and-hold portfolio | variance minimization | diversification | out-of-sample testing | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Theorie | Theory | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41260-016-0036-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011741592