This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy …. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility … time series of optimal portfolio weights are constructed from observed realized volatility and direct forecast is also …

paper investigates the economic benefit of direct utility based estimation of the parameters of a volatility model and … found that maximal utility based estimation, taking into account transactions costs, of a simple volatility model is …Forecasts of asset return volatility are necessary for many financial applications, including portfolio allocation …

Within the context of volatility timing and portfolio selection this paper considers how best to estimate a volatility … model. Two issues are dealt with, namely the frequency of data used to construct volatility estimates, and the loss function … used to estimate the parameters of a volatility model. We find support for the use of intraday data for estimating …

the loss function under which models of realised volatility are estimated. It is found that employing a utility based …Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are … generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive …

We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread … of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this … volatility effect within the US, European and Japanese markets in isolation. Furthermore, we find that the volatility effect …

up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation …

deductive theory based on simplified rationality of the physical world. The behaviour of the markets cannot be derived from … e.g. the CAPM. SIM and MIM frameworks. The multifractal view of e.g. Mandelbrot concerning the market behaviour. has … inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial …

We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread … of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this … volatility effect within the US, European and Japanese markets in isolation. Furthermore, we find that the volatility effect …